The New Basel Capital Accord : The Devil Is in the (Calibration) Details

The Devil Is in the (Calibration) Details

The New Basel Capital Accord : The Devil Is in the (Calibration) Details
This paper considers characteristics of the capital requirements proposed in The New Basel Capital Accord (2001). Formal analysis identifies calibration features that could give rise to unintended consequences that may include: concentration of credit risk in institutions that are less well equipped to measure and manage risks; an overabundance... READ MORE...

Publication date: August 2001
ISBN 9781451853704
$15.00

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