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Keywords: Econometrics
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Journal Articles
Journal Articles
Journal of Financial Regulation and Compliance (2020) 28 (2): 315–335.
Published: 27 January 2020
... Emerald Publishing Limited Licensed re-use rights only European union Risk Basel Econometrics Banking regulation Induced by the global financial crisis, the Basel Committee on Banking Supervision published a revised Basel accord to restore market confidence and address regulatory...
Journal Articles
Journal of Financial Regulation and Compliance (2008) 16 (3): 251–260.
Published: 25 July 2008
... analysis on a stress period of the Hong Kong banking sector. Findings The paper finds that econometric modeling does not work well modeling stress scenarios. The stressed probability of default (PD) provided by Basel II would be much higher than stressed PD observed in the history. Practical...

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