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Credit risk measurement and procyclicality

Citations

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Cited by:

  1. Hakenes, Hendrik & Schnabel, Isabel, 2011. "Bank size and risk-taking under Basel II," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1436-1449, June.
  2. Creighton, Adam & Gower, Luke & Richards, Anthony J., 2007. "The impact of rating changes in Australian financial markets," Pacific-Basin Finance Journal, Elsevier, vol. 15(1), pages 1-17, January.
  3. Samu Peura & Esa Jokivuolle, 2004. "Simulation-based stress testing of banks’ regulatory capital adequacy," Finance 0405003, University Library of Munich, Germany.
  4. Claudio Borio & Mathias Drehmann, 2011. "Toward an Operational Framework for Financial Stability: “Fuzzy” Measurement and Its Consequences," Central Banking, Analysis, and Economic Policies Book Series, in: Rodrigo Alfaro (ed.),Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 4, pages 063-123, Central Bank of Chile.
  5. Paudyn, Bartholomew, 2015. "The struggle to perform the political economy of creditworthiness: European Union governance of credit ratings through risk," LSE Research Online Documents on Economics 59624, London School of Economics and Political Science, LSE Library.
  6. Stolz, Stéphanie & Wedow, Michael, 2005. "Banks' regulatory capital buffer and the business cycle: evidence for German savings and cooperative banks," Discussion Paper Series 2: Banking and Financial Studies 2005,07, Deutsche Bundesbank.
  7. Fabrizio Fabi & Sebastiano Laviola & Paolo Marullo Reedtz, 2004. "The treatment of SMEs loans in the New Basel Capital Accord: some evaluations," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 57(228), pages 29-70.
  8. repec:zbw:bofrdp:2007_015 is not listed on IDEAS
  9. Cesaroni, Tatiana, 2015. "Procyclicality of credit rating systems: How to manage it," Journal of Economics and Business, Elsevier, vol. 82(C), pages 62-83.
  10. Bonfim, Diana, 2009. "Credit risk drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 281-299, February.
  11. Franz R. Hahn, 2003. "Die neue Basler Eigenkapitalvereinbarung ("Basel II") aus makroökonomischer Sicht," WIFO Monatsberichte (monthly reports), WIFO, vol. 76(2), pages 137-150, February.
  12. Ines Drumond, 2009. "Bank Capital Requirements, Business Cycle Fluctuations And The Basel Accords: A Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 23(5), pages 798-830, December.
  13. Stijn Claessens & Geoffrey R D Underhill & Xiaoke Zhang, 2006. "The Political Economy of Global Financial Governance: The Costs of Basle II for Poor Countries," WEF Working Papers 0015, ESRC World Economy and Finance Research Programme, Birkbeck, University of London.
  14. Amato, Jeffery D. & Furfine, Craig H., 2004. "Are credit ratings procyclical?," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2641-2677, November.
  15. Markus Behn & Rainer Haselmann & Paul Wachtel, 2016. "Procyclical Capital Regulation and Lending," Journal of Finance, American Finance Association, vol. 71(2), pages 919-956, April.
  16. Rodriguez, Analía, 2007. "Distribución de pérdidas de la cartera de créditos: el método unifactorial de Basilea II vs. estimaciones no paramétricas," MPRA Paper 12637, University Library of Munich, Germany.
  17. David Martinez-Miera & Rafael Repullo, 2019. "Monetary Policy, Macroprudential Policy, and Financial Stability," Annual Review of Economics, Annual Reviews, vol. 11(1), pages 809-832, August.
  18. Claudio Borio, 2007. "Change and Constancy in the Financial System: Implications for Financial Distress and Policy," RBA Annual Conference Volume (Discontinued), in: Christopher Kent & Jeremy Lawson (ed.),The Structure and Resilience of the Financial System, Reserve Bank of Australia.
  19. Dietrich, Diemo & Vollmer, Uwe, 2004. "Why do banks hold capital in excess of regulatory requirements? A functional approach," IWH Discussion Papers 192/2004, Halle Institute for Economic Research (IWH).
  20. Peura, Samu & Jokivuolle, Esa, 2004. "Simulation based stress tests of banks' regulatory capital adequacy," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1801-1824, August.
  21. Abdelaziz Rouabah, 2006. "La sensibilité de l'activité bancaire aux chocs macroéconomiques : une analyse en panel sur des données de banques luxembourgeoises," BCL working papers 21, Central Bank of Luxembourg.
  22. Anil K. Kashyap & Jeremy C. Stein, 2004. "Cyclical implications of the Basel II capital standards," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 28(Q I), pages 18-31.
  23. Lennart Freitag, 2015. "Procyclicality and Path Dependence of Sovereign Credit Ratings: The Example of Europe," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 44(2), pages 309-332, July.
  24. Iftekhar Hasan & Suk-Joong Kim & Eliza Wu, 2018. "The Effects of Ratings-Contingent Regulation on International Bank Lending Behavior: Evidence from the Basel 2 Accord," World Scientific Book Chapters, in: Information Spillovers and Market Integration in International Finance Empirical Analyses, chapter 16, pages 547-603, World Scientific Publishing Co. Pte. Ltd..
  25. Peura, Samu & Jokivuolle, Esa, 2003. "Simulation-based stress testing of banks' regulatory capital adequacy," Research Discussion Papers 4/2003, Bank of Finland.
  26. Thomas Url, 2010. "Financial Market Crisis: Origin, Short-Term Reaction and Long-Term Adjustment Requirements," Austrian Economic Quarterly, WIFO, vol. 15(1), pages 54-77, April.
  27. Maximilian Hall & Dadang Muljawan & Lolita Moorena, 2009. "Using the artificial neural network to assess bank credit risk: a case study of Indonesia," Applied Financial Economics, Taylor & Francis Journals, vol. 19(22), pages 1825-1846.
  28. Pederzoli, Chiara & Torricelli, Costanza, 2005. "Capital requirements and business cycle regimes: Forward-looking modelling of default probabilities," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 3121-3140, December.
  29. Bougheas, Spiros & Mizen, Paul & Yalcin, Cihan, 2006. "Access to external finance: Theory and evidence on the impact of monetary policy and firm-specific characteristics," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 199-227, January.
  30. Thomas Url, 2009. "Finanzmarktkrise: Entstehung, kurzfristige Reaktion und langfristiger Anpassungsbedarf," WIFO Monatsberichte (monthly reports), WIFO, vol. 82(12), pages 909-931, December.
  31. Petr JAKUBÍK, 2007. "Macroeconomic Environment and Credit Risk (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 57(1-2), pages 60-78, March.
  32. Iftekhar Hasan & Suk-Joong Kim & Eliza Wu, 2018. "The Effects of Ratings-Contingent Regulation on International Bank Lending Behavior: Evidence from the Basel 2 Accord," World Scientific Book Chapters, in: Information Spillovers and Market Integration in International Finance Empirical Analyses, chapter 16, pages 547-603, World Scientific Publishing Co. Pte. Ltd..
  33. Repullo, Rafael & Suarez, Javier, 2004. "Loan pricing under Basel capital requirements," Journal of Financial Intermediation, Elsevier, vol. 13(4), pages 496-521, October.
  34. Pamphile MEZUI-MBENG, 2012. "Cycle Du Credit Et Cycle Des Affaires Dans Les Pays De La Cemac," Cahiers du CEREFIGE 1202, CEREFIGE (Centre Europeen de Recherche en Economie Financiere et Gestion des Entreprises), Universite de Lorraine, revised 2012.
  35. Renato Filosa, 2007. "Stress testing of the stability of the Italian banking system: a VAR approach," Heterogeneity and monetary policy 0703, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica.
  36. Fabrizio Fabi & Sebastiano Laviola & Paolo Marullo Reedtz, 2004. "The treatment of SMEs loans in the New Basel Capital Accord: some evaluations," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 57(228), pages 29-70.
  37. Ryle S. Perera & Kimitoshi Sato, 2018. "Optimal asset allocation for a bank under risk control," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(03), pages 1-27, September.
  38. Maximilian J.B. Hall, 2004. "Basel II: panacea or a missed opportunity?," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 57(230), pages 215-264.
  39. Bui, Duy-Tung & Nguyen, Canh Phuc & Su, Thanh Dinh, 2021. "Asymmetric impacts of monetary policy and business cycles on bank risk-taking: Evidence from Emerging Asian markets," The Journal of Economic Asymmetries, Elsevier, vol. 24(C).
  40. Mark Illing & Graydon Paulin, 2004. "The New Basel Capital Accord and the Cyclical Behaviour of Bank Capital," Staff Working Papers 04-30, Bank of Canada.
  41. Kevin T. Jacques, 2008. "Capital shocks, bank asset allocation, and the revised Basel Accord," Review of Financial Economics, John Wiley & Sons, vol. 17(2), pages 79-91.
  42. Kox, Henk L.M. & Leeuwen, George van, 2012. "Dynamic market selection in EU business services," MPRA Paper 41016, University Library of Munich, Germany.
  43. Pesola, Jarmo, 2007. "Financial fragility, macroeconomic shocks and banks' loan losses: evidence from Europe," Bank of Finland Research Discussion Papers 15/2007, Bank of Finland.
  44. Peura, Samu & Jokivuolle, Esa, 2003. "Simulation-based stress testing of banks' regulatory capital adequacy," Bank of Finland Research Discussion Papers 4/2003, Bank of Finland.
  45. Paulo V. Carvalho & José D. Curto & Rodrigo Primor, 2022. "Macroeconomic determinants of credit risk: Evidence from the Eurozone," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2054-2072, April.
  46. Ryle S. Perera, 2015. "Dynamic asset allocation for a bank under CRRA and HARA framework," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(03), pages 1-19.
  47. Petr Jakubík, 2006. "Does Credit Risk Vary with Economic Cycles? The Case of Finland," Working Papers IES 2006/11, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2006.
  48. repec:zbw:bofrdp:2014_025 is not listed on IDEAS
  49. Michael Böheim, 2011. "Competition policy: ten lessons learnt from the financial crisis," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 38(3), pages 315-330, July.
  50. Ozili, Peterson K, 2018. "Bank Loan Loss Provisions, Investor Protection and the Macroeconomy," MPRA Paper 80281, University Library of Munich, Germany.
  51. Michiel Bijlsma & Jeroen Klomp & Sijmen Duineveld, 2010. "Systemic risk in the financial sector; a review and synthesis," CPB Document 210.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
  52. Rodrigo Lara Pinto & Gilneu Francisco Astolfi Vivan, 2013. "Converting the NPL Ratio into a Comparable Long Term Metric," Working Papers Series 309, Central Bank of Brazil, Research Department.
  53. Pesola, Jarmo, 2007. "Financial fragility, macroeconomic shocks and banks' loan losses : evidence from Europe," Research Discussion Papers 15/2007, Bank of Finland.
  54. Rodríguez Dupuy, Analía, 2007. "Loan portfolio loss distribution: Basel II unifactorial approach vs. Non parametric estimations," MPRA Paper 10697, University Library of Munich, Germany.
  55. Fabrizio Fabi & Sebastiano Laviola & Paolo Marullo Reedtz, 2005. "Lending decisions, procyclicality and the New Basel Capital Accord," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 361-91, Bank for International Settlements.
  56. Borio, Claudio, 2006. "Monetary and financial stability: Here to stay?," Journal of Banking & Finance, Elsevier, vol. 30(12), pages 3407-3414, December.
  57. Faiçal Belaid, 2014. "Loan quality determinants: evaluating the contribution of bank-specific variables, macroeconomic factors and firm level information," IHEID Working Papers 04-2014, Economics Section, The Graduate Institute of International Studies.
  58. repec:zbw:bofrdp:2005_013 is not listed on IDEAS
  59. Gaston Giordana & Ingmar Schumacher, 2012. "Macroeconomic Conditions and Leverage in Monetary Financial Institutions: Comparing European countries and Luxembourg," BCL working papers 77, Central Bank of Luxembourg.
  60. Franz R. Hahn, 2003. "The New Basel Capital Accord (Basel II) from a Macroeconomic Point of View," Austrian Economic Quarterly, WIFO, vol. 8(2), pages 51-63, June.
  61. Vanessa Redak & Alexander Tscherteu, 2003. "Basel II, Procyclicality and Credit Growth - First Conclusions from QIS 3," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 5, pages 56-69.
  62. Chris Ryan & Chris Thompson, 2007. "Risk and the Transformation of the Australian Financial System," RBA Annual Conference Volume (Discontinued), in: Christopher Kent & Jeremy Lawson (ed.),The Structure and Resilience of the Financial System, Reserve Bank of Australia.
  63. Pesola, Jarmo, 2005. "Banking fragility and distress: an econometric study of macroeconomic determinants," Bank of Finland Research Discussion Papers 13/2005, Bank of Finland.
  64. Michiel Bijlsma & Wim Suyker, 2008. "The credit crisis and the Dutch economy... in eight frequently asked questions," CPB Memorandum 210.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
  65. Mr. Rupert D Worrell, 2004. "Quantitative Assessment of the Financial Sector: An Integrated Approach," IMF Working Papers 2004/153, International Monetary Fund.
  66. Gianmarco Bet & Francesco Dainelli & Eugenio Fabrizi, 2023. "The financial health of a company and the risk of its default: Back to the future," Papers 2302.10140, arXiv.org.
  67. repec:zbw:bofrdp:2003_004 is not listed on IDEAS
  68. Pennacchi, George G., 2005. "Risk-based capital standards, deposit insurance, and procyclicality," Journal of Financial Intermediation, Elsevier, vol. 14(4), pages 432-465, October.
  69. Ozili, Peterson K, 2017. "Bank Loan Loss Provisions, Investor Protection and the Macroeconomy," MPRA Paper 80147, University Library of Munich, Germany.
  70. Jacques, Kevin T., 2008. "Capital shocks, bank asset allocation, and the revised Basel Accord," Review of Financial Economics, Elsevier, vol. 17(2), pages 79-91.
  71. Allen, Linda & Bali, Turan G., 2007. "Cyclicality in catastrophic and operational risk measurements," Journal of Banking & Finance, Elsevier, vol. 31(4), pages 1191-1235, April.
  72. Veríssimo, Pedro & de Carvalho, Paulo Viegas & Laureano, Luís, 2021. "Asymmetries in the Euro area banking profitability," The Journal of Economic Asymmetries, Elsevier, vol. 24(C).
  73. Pesola, Jarmo, 2005. "Banking fragility and distress : an econometric study of macroeconomic determinants," Research Discussion Papers 13/2005, Bank of Finland.
  74. repec:onb:oenbwp:y:2003:i:5:b:1 is not listed on IDEAS
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