Cipollini, Andrea; Missaglia, Giuseppe - Dipartimento di Economia "Marco Biagi", Università … - 2008
In this paper, using industry sector stock returns as proxies of firm asset values, we obtain bank capital requirements (through the cycle). This is achieved by Montecarlo simulation of a bank loan portfolio loss density. We depart from the Basel 2 analytical formula developed by Gordy (2003)...