Economic and regulatory capital allocation for revolving retail exposures

Article Abstract:

Two internal capital allocation models are presented and a comparison of the capital ratios they generate with those prescribed by the latest revision of Basel's New Capital Accord proposal for advanced retail portfolios, which allows for explicit future margin income recognition, is given. Basel's ratios are found to be closer to those generated by the models for low credit risk segments.

Retail Trade, Models, Retail industry, Capital formation

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Nonlinear term structure dependence: Copula functions, empirics, and risk implications

Article Abstract:

A study is conducted using Coupla functions and Kalman filter estimation method to analyze the non linear dependence in term structure of United States treasury yields. The risk management implications involved in the process are also presented.

Usage, Treasury securities, Linear models (Statistics), United States. Department of the Treasury

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International corporate investment and the relationships between financial constraint measures

Article Abstract:

The interrelations between several financial constraints and international investments by major corporations are analyzed.

Multinational Corporations, Financial Systems & Controls, Financial Management, Foreign investments, Company investment, Investments, International business enterprises

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