IDEAS home Printed from https://ideas.repec.org/p/fip/fednls/86772.html
   My bibliography  Save this paper

Using Crisis Losses to Calibrate a Regulatory Capital Buffer

Author

Listed:
  • Beverly Hirtle

Abstract

In response to the enormous losses experienced during the recent financial crisis, the Basel Committee on Banking Supervision reached a new international agreement on the amount of capital banks will be required to hold. The “Basel 3” agreement introduces a new, two-tiered structure for regulatory capital requirements involving much more stringent standards for the amount of common equity banks must hold. In a previous post, I discussed how the minimum capital requirement component of the Basel 3 agreement was calibrated. In this post, I explain how the other component—the common equity buffer—was calibrated using information on losses during the recent and past financial crises.

Suggested Citation

  • Beverly Hirtle, 2011. "Using Crisis Losses to Calibrate a Regulatory Capital Buffer," Liberty Street Economics 20111024, Federal Reserve Bank of New York.
  • Handle: RePEc:fip:fednls:86772
    as

    Download full text from publisher

    File URL: https://libertystreeteconomics.newyorkfed.org/2011/10/using-crisis-losses-to-calibrate-a-regulatory-capital-buffer.html
    File Function: Full text
    Download Restriction: no

    More about this item

    Keywords

    Basel Committee; Capital conservation buffer; Capital Requirements;

    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fednls:86772. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (). General contact details of provider: http://edirc.repec.org/data/frbnyus.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.