A major topic in retail lending is the measurement of the inherent portfolio credit risk. The needs for a better understanding and dealing with default risky securities have been reinforced by the Basel Committee on Banking Supervision [1999a, 1999b, 2000, 2001a, 2001b, 2002, 2003] which has...

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...