DANIEL R÷SCH; SCHEULE, HARALD - In: International Review of Finance 10 (2010) Financial Crises and Global Market Integration: Part II, pp. 185-207
This paper analyzes the level and cyclicality of bank capital requirement in relation to (i) the model methodologies through-the-cycle and point-in-time, (ii) four distinct downturn loss rate given default concepts, and (iii) US corporate and mortgage loans. The major finding is that less...