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Citations for "Procyclicality and the New Basel Accord: banks' choice of loan rating system"

by Eva Catarineu-Rabell & Patricia Jackson & Dimitrios P. Tsomocos

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  1. Martin Berka & Christian Zimmermann, 2012. "Basel Accord and Financial Intermediation: The Impact of Policy," Working Paper Series, The Rimini Centre for Economic Analysis 04_12, The Rimini Centre for Economic Analysis.
  2. Dimitrios Tsomocos, 2003. "Equilibrium Analysis, Banking, Contagion and Financial Fragility," OFRC Working Papers Series, Oxford Financial Research Centre 2003fe03, Oxford Financial Research Centre.
  3. Rodríguez Dupuy, Analía, 2007. "Loan portfolio loss distribution: Basel II unifactorial approach vs. Non parametric estimations," MPRA Paper 10697, University Library of Munich, Germany.
  4. Rosch, Daniel, 2005. "An empirical comparison of default risk forecasts from alternative credit rating philosophies," International Journal of Forecasting, Elsevier, Elsevier, vol. 21(1), pages 37-51.
  5. 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, International Atlantic Economic Society, vol. 36(1), pages 1-14, March.
  6. Lea Zicchino, 2005. "A model of bank capital, lending and the macro economy: Basel I versus Basel II," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group 88, Money Macro and Finance Research Group.
  7. Ines Drumond & José Jorge, 2009. "Basel II Capital Requirements, Firms' Heterogeneity, and the Business Cycle," FEP Working Papers 307, Universidade do Porto, Faculdade de Economia do Porto.
  8. Maximilian J.B. Hall, 2004. "Basel II: panacea or a missed opportunity?," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, Banca Nazionale del Lavoro, vol. 57(230), pages 215-264.
  9. repec:onb:oenbwp:y::i:155:b:1 is not listed on IDEAS
  10. Petr Jakubik & Christian Schmieder, 2008. "Stress Testing Credit Risk: Is the Czech Republic Different from Germany?," Working Papers, Czech National Bank, Research Department 2008/9, Czech National Bank, Research Department.
  11. Beltratti, Andrea & Paladino, Giovanna, 2013. "Why do banks optimize risk weights? The relevance of the cost of equity capital," MPRA Paper 46410, University Library of Munich, Germany.
  12. 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, Banca Nazionale del Lavoro, vol. 57(228), pages 29-70.
  13. 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.
  14. Dimitrios Tsomocos & Charles Goodhart & M.U. Peiris & Alexandros Vardoulakis, 2010. "On Dividend Restrictions and the Collapse of the Interbank Market," FMG Discussion Papers, Financial Markets Group dp648, Financial Markets Group.
  15. Dimitrios P Tsomocos & Charles A.E. Goodhart, 2004. "A Model to Analyse Financial Fragility: Applications," Economics Series Working Papers 2004-FE-05, University of Oxford, Department of Economics.
  16. Chiara Pederzoli & Costanza Torricelli & Dimitrios P. Tsomocos, 2008. "Rating systems, procyclicality and Basel II: an evaluation in a general equilibrium framework," OFRC Working Papers Series, Oxford Financial Research Centre 2008fe27, Oxford Financial Research Centre.
  17. Stefano Olgiati & Alessandro Danovi, 2013. "Contraction or steady state? An analysis of credit risk management in Italy in the period 2008-2012," Papers 1307.2465, arXiv.org.
  18. Andersen, Henrik, 2011. "Procyclical implications of Basel II: Can the cyclicality of capital requirements be contained?," Journal of Financial Stability, Elsevier, Elsevier, vol. 7(3), pages 138-154, August.
  19. Piotr Staszkiewicz, 2013. "Czy Bazylea zmieniła kapitały?," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, Warsaw School of Economics, Collegium of Economic Analysis, issue 30, pages 107-120.
  20. 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, Banca Nazionale del Lavoro, vol. 57(228), pages 29-70.
  21. Repullo, Rafael & Suarez, Javier, 2008. "The Procyclical Effects of Basel II," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6862, C.E.P.R. Discussion Papers.
  22. Mark Illing & Graydon Paulin, 2004. "The New Basel Capital Accord and the Cyclical Behaviour of Bank Capital," Working Papers, Bank of Canada 04-30, Bank of Canada.
  23. M. Hashem Pesaran & Til Schuermann & Björn-Jakob Treutler & Scott M. Weiner & April, . "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania 03-13, Wharton School Center for Financial Institutions, University of Pennsylvania.
  24. Charles Goodhart & Pojanart Sunirand & Dimitrios P. Tsomocos, 2004. "A time series analysis of financial fragility in the UK banking system," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 24778, London School of Economics and Political Science, LSE Library.
  25. Benjamin M. Tabak & Daniel O. Cajueiro & Dimas M. Fazio, 2010. "Financial Fragility in a General Equilibrium Model: the Brazilian case," Working Papers Series, Central Bank of Brazil, Research Department 229, Central Bank of Brazil, Research Department.
  26. Amato, Jeffery D. & Furfine, Craig H., 2004. "Are credit ratings procyclical?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 28(11), pages 2641-2677, November.
  27. Drehmann, Mathias & Sorensen, Steffen & Stringa, Marco, 2010. "The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(4), pages 713-729, April.
  28. Samu Peura & Esa Jokivuolle, 2004. "Simulation-based stress testing of banks’ regulatory capital adequacy," Finance, EconWPA 0405003, EconWPA.
  29. Claudio E. V. Borio, 2003. "Towards a macroprudential framework for financial supervision and regulation?," BIS Working Papers 128, Bank for International Settlements.
  30. Varotto, Simone, 2012. "Stress testing credit risk: The Great Depression scenario," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(12), pages 3133-3149.
  31. Loffler, Gunter, 2004. "An anatomy of rating through the cycle," Journal of Banking & Finance, Elsevier, Elsevier, vol. 28(3), pages 695-720, March.
  32. de Fontnouvelle, Patrick & Dejesus-Rueff, Virginia & Jordan, John S. & Rosengren, Eric S., 2006. "Capital and Risk: New Evidence on Implications of Large Operational Losses," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 38(7), pages 1819-1846, October.
  33. Alexandra Girod & Olivier Bruno, 2011. "Bank optimal portfolio risk level under various regulatory requirements," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE) 2011-06, Observatoire Francais des Conjonctures Economiques (OFCE).
  34. 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.
  35. Jacob A. Bikker & Paul A. J. Metzemakers, 2007. "Is Bank Capital Procyclical? A Cross-Country Analysis," Credit and Capital Markets, Credit and Capital Markets, Credit and Capital Markets, vol. 40(2), pages 225-264.
  36. Gonzalez, F. & Haas, F. & Johannes, R. & Persson, M. & Toledo, L. & Violi, R. & Zins, C. & Wieland, M., 2004. "Market dynamics associated with credit ratings: a literature review," Financial Stability Review, Banque de France, Banque de France, issue 4, pages 53-76, June.
  37. Claudio Borio & Haibin Zhu, 2008. "Capital regulation, risk-taking and monetary policy: a missing link in the transmission mechanism?," BIS Working Papers 268, Bank for International Settlements.
  38. Haibin Zhu, 2008. "Capital Regulation and Banks' Financial Decisions," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 4(1), pages 165-211, March.
  39. Krainer, Robert, 2009. "Portfolio and financing adjustments for U.S. banks: Some empirical evidence," Journal of Financial Stability, Elsevier, Elsevier, vol. 5(1), pages 1-24, January.
  40. Stefan Kerbl & Michael Sigmund, 2009. "Quantifying the Cyclicality of Regulatory Capital – First Evidence from Austria," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), Oesterreichische Nationalbank (Austrian Central Bank), issue 18, pages 93-103.
  41. 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, Charles University Prague, Faculty of Social Sciences, vol. 57(1-2), pages 60-78, March.
  42. Dimitrios P Tsomocos & Charles A.E. Goodhart, 2004. "A Risk Assessment Model for Banks," Economics Series Working Papers 2004-FE-11, University of Oxford, Department of Economics.
  43. 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.
  44. Mohsin S. Khan, 2002. "New Issues in Bank Regulation," The Pakistan Development Review, Pakistan Institute of Development Economics, Pakistan Institute of Development Economics, vol. 41(4), pages 333-356.
  45. Adolfo Barajas & Ralph Chami & Thomas Cosimano, 2004. "Did the Basel Accord Cause a Credit Slowdown in Latin America?," JOURNAL OF LACEA ECONOMIA, LACEA - LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION.
  46. Salvador, Carlos & Pastor, Jose Manuel & Fernández de Guevara, Juan, 2014. "Impact of the subprime crisis on bank ratings: The effect of the hardening of rating policies and worsening of solvency," Journal of Financial Stability, Elsevier, Elsevier, vol. 11(C), pages 13-31.
  47. Andrea Resti & Andrea Sironi, 2005. "The Basel Committee Approach To Risk-Weights And External Ratings: What Do We Learn From Bond Spreads?," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 548, Bank of Italy, Economic Research and International Relations Area.
  48. Ruthenberg, David & Landskroner, Yoram, 2008. "Loan pricing under Basel II in an imperfectly competitive banking market," Journal of Banking & Finance, Elsevier, Elsevier, vol. 32(12), pages 2725-2733, December.
  49. Jesús Saurina & Carlos Trucharte, 2007. "An Assessment of Basel II Procyclicality in Mortgage Portfolios," Journal of Financial Services Research, Springer, Springer, vol. 32(1), pages 81-101, October.
  50. Heid, Frank & Krüger, Ulrich, 2011. "Do capital buffers mitigate volatility of bank lending? A simulation study," Discussion Paper Series 2: Banking and Financial Studies 2011,03, Deutsche Bundesbank, Research Centre.
  51. Jesús Saurina & Carlos Trucharte, 2007. "An assessment of Basel II procyclicality in mortgage portfolios," Banco de Espa�a Working Papers 0712, Banco de Espa�a.
  52. Pederzoli, Chiara & Torricelli, Costanza, 2005. "Capital requirements and business cycle regimes: Forward-looking modelling of default probabilities," Journal of Banking & Finance, Elsevier, Elsevier, vol. 29(12), pages 3121-3140, December.
  53. Sunil Sharma & Ralph Chami & Mohsin S. Khan, 2003. "Emerging Issues in Banking Regulation," IMF Working Papers 03/101, International Monetary Fund.
  54. Anton Korinek, 2009. "Systemic Risk: Amplification Effects, Externalities, and Policy Responses," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) 155, Oesterreichische Nationalbank (Austrian Central Bank).