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Information asymmetry and bank regulation : can the spread of debt contracts be explained by recovery rates?

Liu, Wenchien; Miu, Peter; Chang, Yuanchen; Ozdemir, Bogie - In: Journal of financial intermediation 21 (2012) 1, pp. 123-150

Persistent link: https://www.econbiz.de/10009427178

Stress-testing probability of default and migration rate with respect to Basel II requirements

Miu, Peter; Ozdemir, Bogie - In: The journal of risk model validation 3 (2009/10) 4, pp. 3-38

Persistent link: https://www.econbiz.de/10009262130

Basel II implementation : a guide to developing and validating a compliant, internal risk rating system

Ozdemir, Bogie; Miu, Peter - 2009

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Determining hurdle rate and capital allocation in credit portfolio management

Miu, Peter; Ozdemir, Bogie; Cubukgil, Evren; Giesinger, … - In: Journal of financial services research : JFSR 50 (2016) 2, pp. 243-273

Persistent link: https://www.econbiz.de/10011667855

Adapting the Basel II advanced internal-ratings-based models for International Financial Reporting Standard 9

Miu, Peter; Ozdemir, Bogie - In: The journal of credit risk : published quarterly by … 13 (2017) 2, pp. 53-83

Persistent link: https://www.econbiz.de/10011777684

A coherent economic framework to model correlations between PD, LGD and EaD, and its applications in EaD modelling and IFRS-9

Miu, Peter; Ozdemir, Bogie - In: Journal of risk management in financial institutions 16 (2022/2023) 1, pp. 52-78

Persistent link: https://www.econbiz.de/10014293052

Information Asymmetry and Bank Regulation : Can the Spread of Debt Contracts be Explained by Recovery Rates?

Liu, Wenchien - 2011

We investigate whether the spread of corporate debt contacts can be explained by their ultimate recovery rates. Using the actual realized recovery rates of defaulted debt instruments issued in the U.S. from 1962 to 2007, we find that recovery rate is reflected in the spread at issuance, and that...

Persistent link: https://www.econbiz.de/10013118870

Evolution of risk management from risk compliance to strategic risk management : from Basel I to Basel II, III and IFRS 9

Ozdemir, Bogie - In: Journal of risk management in financial institutions 11 (2017/2018) 1, pp. 76-85

Persistent link: https://www.econbiz.de/10011861024

A prudent loss given default estimation for mortgages

Ozdemir, Bogie - In: The journal of risk model validation 10 (2016) 4, pp. 39-54

Persistent link: https://www.econbiz.de/10011587711

Evolution of risk management from risk compliance to strategic risk management Part II : the changing paradigm for the risk executive and Boards of the Canadian banking and insurance sectors

Ozdemir, Bogie - In: Journal of risk management in financial institutions 14 (2020/2021) 3, pp. 268-286

Persistent link: https://www.econbiz.de/10012650483