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Capital requirements and business cycle regimes: Forward-looking modelling of default probabilities

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  • Pederzoli, Chiara
  • Torricelli, Costanza

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File URL: http://www.sciencedirect.com/science/article/B6VCY-4FP1J8V-2/2/510941323994647486693b8e83201cb8
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 29 (2005)
Issue (Month): 12 (December)
Pages: 3121-3140
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Handle: RePEc:eee:jbfina:v:29:y:2005:i:12:p:3121-3140

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For corrections or technical questions regarding this item, or to correct its listing, contact: (Jeroen Loos).

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Citations

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Cited by:
  1. Juan Sole & Alicia Novoa & Jodi Scarlata, 2009. "Procyclicality and Fair Value Accounting," IMF Working Papers 09/39, International Monetary Fund.
  2. Chiara Pederzoli & Costanza Torricelli & Dimitrios Tsomocos, 2010. "Rating systems, procyclicality and Basel II: an evaluation in a general equilibrium framework," Annals of Finance, Springer, vol. 6(1), pages 33-49, January.
  3. Inês Drumond, 2008. "Bank Capital Requirements, Business Cycle Fluctuations and the Basel Accords: A Synthesis," FEP Working Papers 277, Universidade do Porto, Faculdade de Economia do Porto.
  4. David VanHoose, 2008. "Bank Capital Regulation, Economic Stability, and Monetary Policy: What Does the Academic Literature Tell Us?," Atlantic Economic Journal, International Atlantic Economic Society, vol. 36(1), pages 1-14, March.
  5. René Garcia & Richard Luger, 2005. "The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach," Working Papers 05-36, Bank of Canada.
  6. Giuseppe Marotta & Chiara Pederzoli & Costanza Torricelli, 2005. "Forward-looking estimation of default probabilities with Italian data," Heterogeneity and monetary policy 0504, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica.
  7. Javier Gutiérrez Rueda & Angela González Arbeláez & Dairo Estrada, . "Un análisis del exceso de capital de los bancos comerciales en Colombia," Temas de Estabilidad Financiera 052, Banco de la Republica de Colombia.
  8. David E Allen & Akhmad R. Kramadibrata & R. J. Powell & Abhay Kumar Singh, 2011. "A Quantile Analysis of Default Risk for Speculative and Emerging Companies," Working papers 2011-05, Edith Cowan University, School of Accounting Finance & Economics.
  9. Costanza Torricelli & Marianna Brunetti, 2006. "Economic activity and Recession Probabilities: spread predictive power in Italy," Computing in Economics and Finance 2006 350, Society for Computational Economics.
  10. Ana Clara Bueno Teixeira Feitosa Noronha & Daniel Oliveira Cajueiro & Benjamin Miranda Tabak, 2011. "Bank Capital Buffers, Lending Growth Andeconomic Cycle: Empirical Evidence For Brazil," Anais do XXXVIII Encontro Nacional de Economia [Proceedings of the 38th Brazilian Economics Meeting] 035, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  11. Chiara Pederzoli, 2007. "Default risk: Poisson mixture and the business cycle," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 07052, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi".

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