IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-00566534.html
   My bibliography  Save this paper

The treatment of Credit Risk in the Basel Accord and Financial Stability

Author

Listed:
  • Marie-Florence Lamy

    (Pôle Finance Responsable - Rouen Business School - Rouen Business School)

Abstract

This paper discusses the Treatment of Credit Risk in the new Basel Accord that aims at improving financial stability in the world. It addresses the issue of the procyclicity effect of the new framework and the consequences on corporate financing. It then specially focuses on the treatment of maturity in the credit risk measurement and shows that it has a perverse effect leading banks to lend short for industrial assets and takeovers, which might be a factor of unstability. The choice of the Value-at-Risk as a measure of credit risk and linked liquidity aspects are discussed to conclude that the new Basel Accord should encourage A-rated banks to act as liquidity providers in economic slowdown phases.

Suggested Citation

  • Marie-Florence Lamy, 2006. "The treatment of Credit Risk in the Basel Accord and Financial Stability," Post-Print hal-00566534, HAL.
  • Handle: RePEc:hal:journl:hal-00566534
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Wynand Smit & Gary van Vuuren and Paul Styger, 2011. "Economic capital for credit risk in the trading book," South African Journal of Economic and Management Sciences, University of Pretoria, Faculty of Economic and Management Sciences, vol. 14(2), pages 138-152, June.

    More about this item

    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:hal:journl:hal-00566534. See general information about how to correct material in RePEc.

    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 bibliographic 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.