Capital requirements under the credit risk-based framework
This work aims to study the hypothesis of lower capitalization of banks under the risk-based rules introduced in Basel II. In this sense, an assessment of the impact of these rules on the capital requirements for non-financial firms' credit risk is performed. A comparison with Basel I is presented and intervals of variation for the risk drivers such that capital requirements exceed the ones under Basel I are established. Data for a European country supports the hypothesis of a smaller capitalization of banks under the risk-based framework, as far as credit risk in concerned.
Year of publication: |
2011
|
---|---|
Authors: | Antão, Paula ; Lacerda, Ana |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 35.2011, 6, p. 1380-1390
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Publisher: |
Elsevier |
Keywords: | Basel II Basel III Capital requirements Credit risk Banking regulation Banking system |
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