Financial institutions are faced with the challenge to forecast future credit portfolio losses. It is common practice to focus on portfolio models consisting of a limited set of parameters, such as the probability of default, asset correlation, loss given default or exposure at default. A simple...

A side-effect of the better differentiation of credit risk in the New Basel Capital Accord is the danger of a sharp rise of capital requirements in recessions due to a large number of borrower downgrades and defaults. Thus, the Accord may worsen recessions. In the present paper these worries...

This paper shows that the revised loan loss provisioning based on the International Financial Reporting Standards (IFRS) and the US Generally Accepted Accounting Principles (GAAP) implies a reduction of Tier 1 capital. The paper finds in a counterfactual analysis that these changes are more...