A through-the-cycle model for retail lending economic capital

Joseph L. Breeden, Robert Parker and Carsten Steinebach

International Journal of Forecasting, 2012, vol. 28, issue 1, 133-138

Abstract: Problems in the US mortgage industry have shown weaknesses in the standard regulatory and economic capital approaches. Although a significant amount of discussion is occurring around how to segment portfolios or predict key variables in order to better fit the existing formulas, we believe that a re-examination of existing capital formulas with respect to credit risk is required.

Keywords: Age-period-cohort model; Survival model; Proportional hazards model; Dual-time dynamics; Panel data methods; Retail lending; Stress testing; Economic capital; Regulatory capital (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S016920701100046X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:28:y:2012:i:1:p:133-138

DOI: 10.1016/j.ijforecast.2011.01.005

Access Statistics for this article

International Journal of Forecasting is currently edited by R. J. Hyndman

More articles in International Journal of Forecasting from Elsevier
Bibliographic data for series maintained by Catherine Liu ().