Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/280524 
Authors: 
Year of Publication: 
2015
Series/Report no.: 
AEI Economics Working Paper No. 2015-04
Publisher: 
American Enterprise Institute (AEI), Washington, DC
Abstract: 
In this working paper, Paul Kupiec develops an algorithm to approximate the loss rate distribution for fixed income portfolios with obligor concentrations.
Subjects: 
capital requirements
Bank regulation
JEL: 
A
Document Type: 
Working Paper

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