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Regulatory Banking Capital, Estimation Error, and Systemic Risk in Ratings Based Capital Rules

Rösch, Daniel (2005) Regulatory Banking Capital, Estimation Error, and Systemic Risk in Ratings Based Capital Rules. Working Paper.

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Other URL: http://www.fmpm.ch/docs/8th/papers_2005/814.pdf#search=%22%22Regulatory%20banking%20capital%22%22


Abstract

A central goal of risk based capital rules, such as Basel II, is the assimilation of regulatory and economic risk capital. In Basel II banks will be allowed to estimate their capital charges from default time series generated by internal credit rating systems. We demonstrate that these capital charges are subject to serious forecasting errors. Moreover, we show that these errors are highly ...

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Item type:Monograph (Working Paper)
Date:2005
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Entpflichtete oder im Ruhestand befindliche Professoren > Lehrstuhl für Statistik (Prof. Dr. Alfred Hamerle)
Interdisciplinary Subject Network:Immobilien- und Kapitalmärkte
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:404
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