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• W1697297951 abstract "The recent European sovereign-debt crisis has made it clear that exposurestowards sovereigns contain credit risk. However, according to the Basel framework'sstandardized approach banks are not required to hold any regulatory capitalfor highly rated sovereigns. In response, this thesis develops a shadow ratingapproach model for sovereign probability of default estimation, subsequentlydetermining economic capital for sovereign exposures within a foundation internalratings-based framework. Furthermore, the empirical Bayes estimator isutilized for low-default portfolio probability of default calibration. The modelis tested on ve homogeneous sub-segments in addition to the entire datasetat hand. Empirical ndings suggest that the full dataset performs adequatelyoverall. Nonetheless, model performance is superior for accurately constructedsub-segments. In addition, economic, monetary and political indicators as wellas banking sector health are found to best replicate S&P's sovereign long-termissuer credit ratings." @default.
• W1697297951 created "2016-06-24" @default.
• W1697297951 creator A5000655312 @default.
• W1697297951 date "2014-01-01" @default.
• W1697297951 modified "2023-09-27" @default.
• W1697297951 title "Responding to the Eurozone Crisis - Applying the Shadow Rating Approach to Determine Economic Capital for Sovereign Exposures" @default.
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• W1697297951 hasPublicationYear "2014" @default.
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