Credit Risk Versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different?

Tor Jacobson (), Jesper Lindé and Kasper Roszbach ()

Journal of Financial Services Research, 2005, vol. 28, issue 1, pages 43-75

Keywords: Internal ratings; credit risk; Value-at-Risk; banks; Basel II; retail credit; SME credit; corporate credit; regulatory capital; economic capital (search for similar items in EconPapers)
Date: 2005
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Related works:
Working Paper: Credit Risk versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different? (2004)
Working Paper: Credit Risk Versus Capital Requirements Under Basel II: Are SME Loans and Retail Credit Really Di Erent? (2004)
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Persistent link: http://EconPapers.repec.org/RePEc:kap:jfsres:v:28:y:2005:i:1:p:43-75

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