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## A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules (2003)

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Venue: | Journal of Financial Intermediation |

Citations: | 294 - 1 self |

### Citations

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Citation Context ...t nj and j denote the jth cumulants of Ln ands(X), respectively. First cumulants equal first moments, so n1 = 1 exactly. Using standard formulae for conversion of moments to cumulants (e.g., 30 =-=Stuart and Ord 1994-=-, eq. 3.40), we can easily show that equation (36) implies nj − j = O(n−1) for j 2. The distribution ofs(X) is F (y) = H( −1(y)). By assumption,sis increasing, continuous and arbitrarily differe... |

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Citation Context ...n a single quantile of the loss distribution, VaR 3 Large-sample approximations have been applied to homogeneous portfolios under single risk factor versions of the RiskMetrics Group’s CreditMetrics (=-=Finger 1999-=-) and KMV Portfolio Manager (Vasicek 1997) in order to obtain computational shortcuts. Bürgisser, Kurth and Wagner (2001) characterize the asymptotic behavior of a generalized CreditRisk + model on a ... |

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Citation Context ...hether EEL 3Large-sample approximations have been applied to homogeneous portfolios under single risk factor versions of the RiskMetrics Group’s CreditMetrics (Finger 1999) and KMV Portfolio Manager (=-=Vasicek 1997-=-) in order to obtain computational shortcuts. Bürgisser, Kurth and Wagner (2000) characterize the asymptotic behavior of a generalized CreditRisk+ model on a sequence of portfolios with n statistical... |

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