Industry practices in credit risk modeling and internal capital allocations: implications for a models-based regulatory capital standard

Jones, David M.; Mingo, John J.

Journal Article

Industry practices in credit risk modeling and internal capital allocations: implications for a models-based regulatory capital standard

Abstract: This paper was presented at the conference \\"Financial services at the crossroads: capital regulation in the twenty-first century\\" as part of session 2, \\"Credit risk modeling.\\" The conference, held at the Federal Reserve Bank of New York on February 26-27, 1998, was designed to encourage a consensus between the public and private sectors on an agenda for capital regulation in the new century.

Keywords: Bank capital; Risk; Econometric models;

Status: Published in Financial services at the crossroads: capital regulation in the twenty-first century