Treatment of double-default and double-recovery effects for hedged exposures under pillar I of the proposed New Basel Capital Accord

Norah Barger and Erik Heitfield
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Erik Heitfield: https://www.federalreserve.gov/econres/erik-a-heitfield.htm

No 2, Basel II White Paper from Board of Governors of the Federal Reserve System (U.S.)

Keywords: Bank capital; Risk management; Basel capital accord (search for similar items in EconPapers)
Date: 2003
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