Using credit risk models for regulatory capital

The Federal Reserve Bank of New York has a highly topical article in its forthcoming Economic Policy Review called "Using Credit Risk Models for Regulatory Capital: Issues and Options," by Beverly J. Hirtle, Mark Levonian, Marc Saidenberg, Stefan Walter, and David Wright. The authors describe the issues and options that would be associated with the development of regulatory minimum capital standards for credit risk based on banks' internal risk measurement models.

Their goal is to provide a

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Geoeconomic reserve management

The world order is evolving. Whether, and how, the international economy remains integrated or shifts into spheres of influence has consequences for central bank policy and reserve management.

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