Repullo, Rafael; Saurina, Jesús; Trucharte, Carlos - Centro de Estudios Monetarios y Financieros (CEMFI) - 2009
regulation (Basel II). We estimate a model of the probabilities of default (PDs) of Spanish firms during the period 1987 …-2008, and use the estimated PDs to compute the corresponding series of Basel II capital requirements per unit of loans. These … the inputs of the Basel II formula by using through-the-cycle PDs or to smooth the output with a multiplier based on GDP …