A forward-looking model for time-varying capital requirements and the New Basel Capital Accord
Year of publication: |
2004-02
|
---|---|
Authors: | Torricelli, Costanza ; Pederzoli, Chiara |
Institutions: | Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia |
Subject: | capital requirement | default probability | business cycle | procyclicality |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Published in Journal of Banking and Finance, Vl. 29, 12, 2005 pages 29 |
Classification: | G21 - Banks; Other Depository Institutions; Mortgages ; G28 - Government Policy and Regulation ; C32 - Time-Series Models |
Source: |
-
Forward-looking estimation of default probabilities with Italian data
Marotta, Giuseppe, (2005)
-
States, Banks and the Financing of the Economy: Monetary Policy and Regulatory Perspectives
Balling, Morten, (2013)
-
States, banks, and the financing of the economy : monetary policy and regulatory perspectives
Balling, Morten, (2013)
- More ...
-
Rating systems, procyclicality and Basel II : an evaluation in a general equilibrium framework
Pederzoli, Chiara, (2010)
-
A parsimonious default prediction model for Italian SMEs
Pederzoli, Chiara, (2010)
-
Capital requirements and business cycle regimes : forward-looking modelling of default probabilities
Pederzoli, Chiara, (2005)
- More ...