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Adverse feedback loop in the bank-based financial systems
Geršl, Adam; Jakubík, Petr - 2010
This paper examines procyclicality of the financial system. The introduction describes the natural and regulatory … sources of procyclicality, focusing on the potential procyclical effect of the current Basel II regulatory framework for banks …
Persistent link: https://www.econbiz.de/10010322225
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Basel II and financial stability: An investigation of sensitivity and cyclicality of capital requirements based on QIS 2
Zsámboki, Balázs - 2007
mechanism of Basel II and to explore the possible impacts of prudential regulation on cyclical swings in capital requirements. …
Persistent link: https://www.econbiz.de/10010322384
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Optimal capital requirements over the business and financial cycles
Malherbe, Frederic - 2015
the optimal requirement. A regulation that fails to take this effect into account exacerbates economic fluctuations and …
Persistent link: https://www.econbiz.de/10011605875
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Business and Default Cycles for Credit Risk
Koopman, Siem Jan; Lucas, André - 2003
important for credit risk management as well as for regulation and systemic risk management. In this paper, we use 1927-1997 U …
Persistent link: https://www.econbiz.de/10010324897
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Bank capital regulation, the lending channel and business cycles
Zhang, Longmei - 2009
This paper develops a Dynamic Stochastic General Equilibrium (DSGE) model to study how the instability of the banking sector can amplify and propagate business cycles. The model builds on Bernanke, Gertler and Gilchrist (BGG) (1999), who consider credit demand friction due to agency cost, but it...
Persistent link: https://www.econbiz.de/10010299852
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Das Schweizer Eigenmittelregime für Grossbanken: Work in Progress
Kellermann, Kersten; Schlag, Carsten-Henning - 2010
sich damit nach wie vor im Prozess der Neugestaltung der Finanz-marktregulierung. Anhand von Bilanzdaten der Schweizer …
Persistent link: https://www.econbiz.de/10010281966
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Eine effektive Alternative zur Leverage Ratio
Kellermann, Kersten; Schlag, Carsten-Henning - 2010
Nach den Erfahrungen der Finanzkrise scheint es angebracht, in der Bankenaufsicht ein Instrument zu implementieren, das …. Für die Schweizer Grossbanken hat die Eidgenössische Finanzmarktaufsicht bereits im November 2008 eine solche …
Persistent link: https://www.econbiz.de/10010281967
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Evaluating internal credit rating systems depending on bank size
Frerichs, Hergen; Wahrenburg, Mark - 2003
Under a new Basel capital accord, bank regulators might use quantitative measures when evaluating the eligibility of internal credit rating systems for the internal ratings based approach. Based on data from Deutsche Bundesbank and using a simulation approach, we find that it is possible to...
Persistent link: https://www.econbiz.de/10010316304
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Future Risks and Fragilities for Financial Stability
Pagliari, Stefano; Briault, Clive; Milne, Alistair; … - 2012
connected issues, mainly incentives and market discipline, regulation, competition and shadow banking, and size and structure of …
Persistent link: https://www.econbiz.de/10011689954
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Incentives for Effective Risk Management
Daníelsson, Jón; Jorgensen, Bjørn N.; de Vries, Casper G. - 2001
standard approach subsequent to becoming regulated, i.e., the presence of regulation may induce a bank to decrease the quality …
Persistent link: https://www.econbiz.de/10010324867