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may be affected differently by shocks (differences between banks that adopted model-based...institutional details of Basel II introduction Paul Wachtel 5/32 Findings ...
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Methodology (II) 9 ¨ Method for computing the expected returns à market model...¨ For this purpose, we run a cross-sectional regression...
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as compared to model (2)....Due to the substantially lower number of observations in this model the effects...Second, in unreported robustness...
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by Milan Deskar-Škrbić, Karlo Kotarac and Davor Kunovac from the CNB's Modelling
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