Working Paper

Treatment of double-default and double-recovery effects for hedged exposures under pillar I of the proposed New Basel Capital Accord

Keywords: Bank capital; Risk management; Basel capital accord;

Access Documents

File(s): File format is application/pdf http://www.federalreserve.gov/generalinfo/basel2/docs2003/doubledefault.pdf

File(s): https://citeseerx.ist.psu.edu/document?repid=rep1&type=pdf&doi=6ab248cdc4cf221009e8d3437c5c57fd01d94111

Authors

Heitfield, Erik

Bibliographic Information

Provider: Board of Governors of the Federal Reserve System (U.S.)

Part of Series: Basel II White Paper

Publication Date: 2003

Number: 2