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Author:Frye, Jon 

Journal Article
Collateral damage detected

Emerging Issues , Issue Sep

Working Paper
BankCaR (Bank Capital-at-Risk): a credit risk model for U.S. commercial bank charge-offs

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

Journal Article
Depressing recoveries

Emerging Issues , Issue Oct

Journal Article
Weighting for risk

Emerging Issues , Issue Apr

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Risk 3 items

Bank capital 2 items

Risk management 2 items

Bank failures 1 items

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