cyclical behaviour of European bank capital buffers. After controlling for other potential de-terminants of bank capital, we … taking place each year. We further distinguish by type and size of bank, and find that capital buffers of commercial and …

We study the effects on credit allocation and bank stability of introducing a leverage ratio requirement (LRR) on top … current 3% LRR might even reduce bank stability, counter to regulatory intentions. This is because the allocational effect … caused by the LRR, which makes bank loan portfolios more alike, may turn beneficial risk spreading into harmful risk …

bank suffices for unexpected losses with a 95%-99% probability. This translates into an expected bank failure rate as high … as once in twenty years. Even if the bank's interest income is incorporated into our model, the expected failure rate is …

We consider the impact of mandatory information disclosure on bank safety in a spatial model of banking competition in … which a bank’s probability of success depends on the quality of its risk measurement and management systems. Under Basel II …

of Basel II on the efficiency of bank lending. We consider competitive credit markets where entrepreneurs may apply for … the cyclicality of bank lending over the business cycle. …

standard credit portfolio analysis in that we simulate actual bank capital and minimum capital requirements simultaneously …. Actual bank capital (absent mark-to-market accounting) is driven by bank income and default losses, whereas capital … capital buffers, given bank management’s specified confidence level for capital adequacy. We provide a tentative calibration …

The solvency standards implicit in bank capital levels, as reported eg in Jackson et al (2002), are much higher than … minimum target in future periods. We calibrate to data on actual bank capital the confidence level used by the median US AA … rated bank to maintain at least a single A rating. The calibrated confidence level is in line with the historical …