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A Two Factor Model for PD and LGD Correlation
Witzany, Jiri - In: Bulletin of the Czech Econometric Society 18 (2011)
<em style="mso-bidi-font-style: normal;"><span lang="EN-US"><span style="font-family: Times New Roman; font-size: small;">The paper proposes a two systematic factor model to capture a retail portfolio probability of default (PD) and loss given default (LGD) parameters, in particular their mutual correlation. We argue that the standard one factor models standing behind the Basel II formula and used by a number of...</span></span></em>
Persistent link: https://www.econbiz.de/10009643446
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Dividends and Bank Capital in the Financial Crisis of 2007-2009
Acharya, Viral V; Gujral, Irvind; Kulkarni, Nirupama; … - C.E.P.R. Discussion Papers - 2012
financial crisis of 2007-09, they raised substantial amounts of new capital, both from private investors and through government …-funded capital injections. However, on closer inspection the composition of bank capital shifted radically from one based on common … banks to lend over this period. We draw conclusions on how capital regulation may be reformed in light of our findings. …
Persistent link: https://www.econbiz.de/10011083440
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Market-Based Bank Capital Regulation
Bulow, Jeremy I.; Klemperer, Paul - C.E.P.R. Discussion Papers - 2013
Today’s regulatory rules, especially the easily-manipulated measures of regulatory capital, have led to costly bank …
Persistent link: https://www.econbiz.de/10011083692
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The Procyclical Effects of Basel II
Repullo, Rafael; Suarez, Javier - C.E.P.R. Discussion Papers - 2008
We analyze the cyclical effects of moving from risk-insensitive (Basel I) to risk-sensitive (Basel II) capital … impair their capacity to lend in the future and, as a precaution, hold capital buffers. We find that the new regulation …
Persistent link: https://www.econbiz.de/10005666764
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Economic and Regulatory Capital: What is the Difference?
Elizalde, Abel; Repullo, Rafael - C.E.P.R. Discussion Papers - 2004
This Paper analyses the determinants of regulatory capital (the minimum required by regulation) and economic capital … (the capital that shareholders would choose in absence of regulation) in the context of the single risk factor model that … underlies the New Basel Capital Accord (Basel II). The results show that economic and regulatory capital do not depend on the …
Persistent link: https://www.econbiz.de/10005123827
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The Manipulation of Basel Risk-Weights
Mariathasan, Mike; Merrouche, Ouarda - C.E.P.R. Discussion Papers - 2013
In this paper, we examine the relationship between banks’ approval for the internal ratings-based (IRB) approaches of Basel II and the ratio of risk-weighted over total assets. Analysing a panel of 115 banks from 21 OECD countries that were eventually approved for applying the IRB to their...
Persistent link: https://www.econbiz.de/10011083229
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Cyclical Adjustment of Capital Requirements: A Simple Framework
Repullo, Rafael - C.E.P.R. Discussion Papers - 2012
capital. Capital serves to ameliorate a moral hazard problem in the choice of risk. There is a fixed aggregate supply of bank … capital, so the cost of capital is endogenous. A regulator sets risk-sensitive capital requirements in order to maximize a … supply of bank capital and show that optimal capital requirements should be lowered. Failure to do so would keep banks safer …
Persistent link: https://www.econbiz.de/10011084322
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Risk, capital and financial crisis: Evidence for GCC banks
Ghosh, Saibal - In: Borsa Istanbul Review 14 (2014) 3, pp. 145-157
Employing data on over 100 GCC banks for 1996e2011, we test the relation between risk and capital. Given the … with the literature, risk is measured by the Z-score, while capital is computed as the ratio of equity to asset. The … findings indicate that banks generally increase capital in response to an increase in risk, and not vice versa. Second, there …
Persistent link: https://www.econbiz.de/10010930553
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Making the Banking Sector More Resilient and Reducing Household Debt in the Netherlands
Kierzenkowski, Rafał; Havrylchyk, Olena; Beynet, Pierre - Economics Department, Organisation de Coopération et … - 2014
-performing loans across banks. Higher capital buffers would bolster financial stability and help ensure access to market funding while …
Persistent link: https://www.econbiz.de/10011276851
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Complementing Bagehot: Illiquidity and insolvency resolution
Eijffinger, Sylvester C W; Nijskens, Rob - C.E.P.R. Discussion Papers - 2011
that is able to bail out the bank either by injecting capital at a fixed return or by receiving an equity claim. This …
Persistent link: https://www.econbiz.de/10009320403