articleJournal of Financial IntermediationJul 1, 2003GREEN OA

A risk-factor model foundation for ratings-based bank capital rules

MBMichael B. Gordy

Federal Reserve · Federal Reserve Board of Governors

Indexed incrossref

Abstract

No abstract available for this paper.

Citation impact

890
total citations
FWCI
56.73
Percentile
100%
References
28
Citations per year

Authors

1

Topics & keywords

Topics
Keywords
  • Risk-adjusted return on capital
  • Portfolio
  • Economics
  • Econometrics
  • Systematic risk
  • Actuarial science
  • Value at risk
  • Basel II
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