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Publications by Paul H. Kupiec

Unbiased Capital Allocation in an Asymptotic Single Risk Factor (ASRF) Model of Credit Risk

SSRN Electronic Journal

English

The Pre-Commitment Approach: Using Incentives to Set Market Risk Capital Requirements

SSRN Electronic Journal

English

Related publications

Model Risk on Credit Risk

Risk and Decision Analysis

English

An Economic Capital Model Integrating Credit and Interest Rate Risk in the Banking Book

Journal of Banking and Finance

English

Model Risk and Regulatory Capital

SSRN Electronic Journal

English

Portfolio Credit Risk With Extremal Dependence: Asymptotic Analysis and Efficient Simulation

Operations Research

Management Science

Computer Science Applications

Operations Research

English

Credit Crunches and Credit Allocation in a Model of Entrepreneurship

SSRN Electronic Journal

English

A Credit Risk Model to Develop the Credit Insurance Market

Journal of Business & Economics Research (JBER)

English

Risk Measurement for Portfolio Credit Risk Based on a Mixed Poisson Model

Discrete Dynamics in Nature and Society

English

Credit Risk Management

ISRA International Journal of Islamic Finance

English

Financial Crises and Credit Risk Capital for Buy and Hold Investors

SSRN Electronic Journal

English