Rating systems, procyclicality and Basel II: an evaluation in a general equilibrium framework
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DOI: 10.1007/s10436-009-0128-8
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- Chiara Pederzoli & Costanza Torricelli & Dimitrios P. Tsomocos, 2008. "Rating systems, procyclicalilty and Basel II: an evaluation in a general equilibrium framework," Economics Series Working Papers 2008fe27, University of Oxford, Department of Economics.
- 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 2008fe27, Oxford Financial Research Centre.
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Citations
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Cited by:
- Olivier Bruno & Alexandra Girod, 2013.
"Procyclicality and Bank Portfolio Risk Level under a Constant Leverage Ratio,"
GREDEG Working Papers
2013-35, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
- Olivier Bruno & Alexandra Girod, 2013. "Procyclicality and Bank Portfolio Risk Level Under A Constant Leverage Ratio," Working Papers halshs-01295573, HAL.
- Lützenkirchen, Kristina & Rösch, Daniel & Scheule, Harald, 2013. "Ratings based capital adequacy for securitizations," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5236-5247.
- Lützenkirchen, Kristina & Rösch, Daniel & Scheule, Harald, 2014. "Asset portfolio securitizations and cyclicality of regulatory capital," European Journal of Operational Research, Elsevier, vol. 237(1), pages 289-302.
- Sudipto Bhattacharya & Charles A.E. Goodhart & Dimitrios P. Tsomocos & Alexandros P. Vardoulakis, 2015.
"A Reconsideration of Minsky's Financial Instability Hypothesis,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(5), pages 931-973, August.
- Bhattacharya, Sudipto & Goodhart, Charles & Tsomocos, Dimitrios P. & Vardoulakis, Alexandros P., 2015. "A reconsideration of Minsky’s financial instabilityhypothesis," LSE Research Online Documents on Economics 64218, London School of Economics and Political Science, LSE Library.
- Benjamin Tabak & Daniel Cajueiro & Dimas Fazio, 2013.
"Financial fragility in a general equilibrium model: the Brazilian case,"
Annals of Finance, Springer, vol. 9(3), pages 519-541, August.
- Benjamin M. Tabak & Daniel O. Cajueiro & Dimas M. Fazio, 2010. "Financial Fragility in a General Equilibrium Model: the Brazilian case," Working Papers Series 229, Central Bank of Brazil, Research Department.
- Panayiotis P. Athanasoglou & Ioannis Daniilidis, 2011. "Procyclicality in the banking industry: causes, consequences and response," Working Papers 139, Bank of Greece.
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More about this item
Keywords
Procyclicality; Rating systems; Basel II; General equilibrium; D58; E44; G21; G38;All these keywords.
JEL classification:
- D58 - Microeconomics - - General Equilibrium and Disequilibrium - - - Computable and Other Applied General Equilibrium Models
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation
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