This study aims to analyse the sensitivity of capital requirements to changes in risk parameters (PD, LGD and M) by creating a "model bank" with a portfolio mirroring the average asset composition of internationally active large banks, as well as locally oriented smaller institutions...

This study aims to analyse the sensitivity of capital requirements to changes in risk parameters (PD, LGD and M) by creating a model bank with a portfolio mirroring the average asset composition of internationally active large banks, as well as locally oriented smaller institutions participating...

In this study, we explore the relationship between certain structural features of the banking sectors in EU Member States and the performance of the respective banking sectors over the financial cycle. Using the financial cycle indicator developed by Stremmel (2015), we estimate the impact of...

This paper analyses banks' ability to use capital buffers in the euro area, taking into account overlapping capital requirements between the risk-based capital framework and the leverage ratio capital framework from 2016 to 2022. This analysis is the first to quantify buffer usability in...