Procyclicality of capital and portfolio segmentation in the advanced internal ratings-based framework : an application to mortgage portfolios
Year of publication: |
2018
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Authors: | Canals-Cerdá, José J. |
Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 12.2018, 3, p. 1-27
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Subject: | Basel accord | credit risk | regulatory capital | mortgages | procyclicality | Kreditrisiko | Credit risk | Basler Akkord | Basel Accord | Hypothek | Mortgage | Portfolio-Management | Portfolio selection | Konjunktur | Business cycle |
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