Journal Article
Weighting for risk
Frye, Jon (2001-04)
Emerging Issues , Issue Apr

Journal Article
Collateral damage detected
Frye, Jon (2000-09)
Emerging Issues , Issue Sep

Journal Article
Depressing recoveries
Frye, Jon (2000-10)
Emerging Issues , Issue Oct

Working Paper
BankCaR (Bank Capital-at-Risk): a credit risk model for U.S. commercial bank charge-offs
Pelz, Eduard A.; Frye, Jon (2008)
BankCaR is a credit risk model that forecasts the distribution of a commercial bank's charge-offs. The distribution depends only on systematic factors; BankCaR takes each bank and projects its expected charge-off across a distribution of good years and bad years. Since most bank failures occur in bad years, this analysis has promise for both banks and bank supervisors. In BankCaR, charge-offs depend on the bank's loan balances and the charge-off rates of twelve categories of lending. A joint distribution of the twelve charge-off rates is calibrated to a long history of regulatory reporting ...
Working Paper Series , Paper WP-08-03