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Credit Allocation, Capital Requirements and Output

Jokivuolle, Esa - 2011

excessive output loss when a recession starts. Risk-based capital requirements can alleviate the output loss by reducing …

Persistent link: https://www.econbiz.de/10013130532

Loan Loss Provisioning : Regulatory Capital Management, Income Smoothing and Procyclicality

Abou-El-Sood, Heba - 2017

setting loan loss provisions, they have strong incentives to use provisioning to manage regulatory capital and thereby reduce …-smoothing incentives to manage loan loss provisions. Using a sample of 878 US bank holding companies over the period 2001-2009, I find … the current accounting rules for loan loss provisions reinforce procylicality in regulatory capital, and that being in a …

Persistent link: https://www.econbiz.de/10012976395

Risk weights, lending, and financial stability : limits to model-based capital regulation ; conference paper

Behn, Markus; Haselmann, Rainer; Vig, Vikrant - 2014

Model-based capital regulation is considered to be one of the key innovations of Basel II. The objective of this innovation was to make capital charges more sensitive to risk. Using data from the German credit register, and employing a difference-indifference identification strategy, we...

Persistent link: https://www.econbiz.de/10010485279

Stress tests and capital requirement disclosures : do they impact banks' lending and risk-taking decisions?

Konietschke, Paul; Ongena, Steven; Marques, Aurea Ponte - 2022

How do banks respond to changes in capital requirements as a result of the stress tests? Does the disclosure of stress test results matter? To answer these questions, we study the impact of European stress tests on banks' lending, their corresponding risk-taking, the ensuing effect on their...

Persistent link: https://www.econbiz.de/10013277156

Stress Tests and Capital Requirement Disclosures : Do They Impact Banks' Lending and Risk-Taking Decisions?

Konietschke, Paul; Ongena, Steven; Ponte Marques, Aurea - 2022

Persistent link: https://www.econbiz.de/10013403421

Advancements in stress-testing methodologies for financial stability applications

Budnik, Katarzyna; Marques, Aurea Ponte; Georgescu, … - 2024

This paper provides an overview of stress-testing methodologies in Europe, with a focus on the advancements made by the European Central Bank's Financial Stability Committee Working Group on Stress Testing (WGST). Over a four-year period, the WGST played a pivotal role in refining stress-testing...

Persistent link: https://www.econbiz.de/10014530302

The real effects of bank capital requirements

Fraisse, Henri; Lé, Mathias; Thesmar, David - 2017

We measure the impact of bank capital requirements on corporate borrowing and investment using loanE level data. The Basel II regulatory framework makes capital requirements vary across both banks and across firms, which allows us to control for firmE level credit demand shocks and bankE level...

Persistent link: https://www.econbiz.de/10011978165

Proposal on ELBE and LGD in-default : tackling capital requirements after the financial crisis

González, Marta Ramos; Partal Ureña, Antonio; … - 2018

Expected Loss Best Estimate (ELBE) and Loss Given Default (LGD) in-default are obtained, backed by an innovative indicator …

Persistent link: https://www.econbiz.de/10011864189

Basel III capital requirements and heterogeneous banks

Müller, Carola - 2018 - This version: October 2018

I develop a theoretical model to examine the effect of capital requirements on risk taking and market structure of banks. Within a portfolio choice model, I allow for heterogeneous productivity among banks and consider the simultaneous capital regulation with a leverage ratio and a risk-weighted...

Persistent link: https://www.econbiz.de/10011888053

Countercyclical prudential tools in an estimated DSGE model

Frache, Serafin; Garcia-Cicco, Javier; Ponce, Jorge - In: Latin American journal of central banking : LAJCB 4 (2023) 3, pp. 1-25

We developed a dynamic stochastic general equilibrium (DSGE) model for a small, open economy with a banking sector and endogenous default to assess two macroprudential tools: countercyclical capital buffers (CCB) and dynamic provisions (DP). The model is estimated with data for Uruguay, where...

Persistent link: https://www.econbiz.de/10014382973