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A Critique of Revised Basel II
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A Critique of Revised Basel II (2007)A Critique of Revised Basel IILiquidity Risk and Arbitrage Pricing Theory (2010)Liquidity Risk and Arbitrage …Multi-period corporate default prediction with stochastic covariates (2006)Multi-period corporate defaul…Cyclical implications of the Basel II capital standards (2004)Cyclical implications of the …Credit Risk: Modeling, Valuation and Hedging (2004)Credit Risk: Modeling, Valuat…Bankruptcy Prediction with Industry Effects (2004)Bankruptcy Prediction with In…Term Structure Dynamics in Theory and Reality (2003)Term Structure Dynamics in Th…A risk-factor model foundation for ratings-based bank capital rules (2003)A risk-factor model foundatio…An Introduction to Credit Risk Modeling (2002)An Introduction to Credit Ris…An Introduction to Credit Risk Modeling (2002)An Introduction to Credit Ris…Value at Risk (2001)Value at RiskDefault and Recovery Rates of Corporate Bond Issuers: 2000 (2001)Default and Recovery Rates of…Effectiveness of Capital Regulation at U.S. Commercial Banks, 1985 to 1994 (2000)Effectiveness of Capital Regu…Estimating the Price of Default Risk (1999)Estimating the Price of Defau…Risk in Banking and Capital Regulation (1988)Risk in Banking and Capital R…Federal Deposit Insurance, Regulatory Policy, and Optimal Bank Capital (1981)Federal Deposit Insurance, Re…An Approach to the Regulation of Bank Holding Companies (1978)An Approach to the Regulation…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Modeling Term Structures of Defaultable Bonds (1999)Quantitative models for operational risk: Extremes, dependence and aggregation (2006)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Structural versus Reduced‐Form Models: A New Information‐Based Perspective (2012)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Monetary Policy and Credit Conditions: Evidence From the Composition of External Finance (1992)Procyclicality in Basel II: Can we treat the disease without killing the patient? (2006)The Procyclical Effects of Bank Capital Regulation (2012)Capital regulation and monetary policy with fragile banks (2013)Nonmonetary Effects of the Financial Crisis in the Propagation of the Great Depression (2024)The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates (2004)Heterogeneous Expectations and Bond Markets (2006)Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields (2007)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CORPORATE INCOME TAXES AND THE COST OF CAPITAL: A CORRECTION (1963)Loan Sales and the Cost of Bank Capital (1988)Deposit Insurance and Wealth Effects: The Value of Being "Too Big to Fail" (1990)Prudential Regulation for Banks (1995)The cost of capital, corporation finance and the theory of investment (2008)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)Dynamic Asset Pricing Theory. (1993)Counterparty Risk and the Pricing of Defaultable Securities (2001)Measuring Abnormal Bond Performance (2008)The Determinants of Credit Default Swap Premia (2009)Safety First and the Holding of Assets (1952)Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small and in the Large (1976)The role of capital in financial institutions (1995)Does bank capital affect lending behavior? (2004)Rethinking Bank Regulation: Till Angels Govern (2005)Coherent Measures of Risk (1999)Conditional value-at-risk for general loss distributions (2002)On the coherence of expected shortfall (2002)Market discipline, disclosure and moral hazard in banking (2006)Common Failings: How Corporate Defaults Are Correlated (2007)Does Competition Reduce the Risk of Bank Failure? (2010)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Methodological Issues Related to the Estimation of Financial Distress Prediction Models (1984)Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)Forecasting Default with the Merton Distance to Default Model (2008)Environmental Externalities and Cost of Capital (2014)Financial Distress Prediction in an International Context: A Review and Empirical Analysis of Altman's Z‐ Score Model (2016)Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Credit Spreads and Business Cycle Fluctuations (2012)Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk-Taking? (2014)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Measuring systemic risk: A risk management approach (2005)Supply chain risk management and performance (2007)
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References

  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
  • 1988Risk in Banking and Capital Regulation1,058 cited
  • 2006Multi-period corporate default prediction with stochastic covariates973 cited
  • 2003A risk-factor model foundation for ratings-based bank capital rules869 cited
  • 2001Value at Risk846 cited
  • 2004Bankruptcy Prediction with Industry Effects810 cited
  • 1999Estimating the Price of Default Risk724 cited
  • 1981Federal Deposit Insurance, Regulatory Policy, and Optimal Bank Capital525 cited
  • 2004Cyclical implications of the Basel II capital standards432 cited
  • 2003Term Structure Dynamics in Theory and Reality367 cited
  • 2002An Introduction to Credit Risk Modeling318 cited
  • 2010Liquidity Risk and Arbitrage Pricing Theory273 cited
  • 2000Effectiveness of Capital Regulation at U.S. Commercial Banks, 1985 to 1994231 cited
  • 2001Default and Recovery Rates of Corporate Bond Issuers: 2000228 cited
  • 2002An Introduction to Credit Risk Modeling227 cited
  • 1978An Approach to the Regulation of Bank Holding Companies

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