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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. Dimitrios P Tsomocos, 2003. "Equilibrium analysis, banking, contagion and financial fragility," Bank of England working papers 175, Bank of England.
  2. 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, vol. 11(C), pages 13-31.
  3. Jacob A. Bikker & Paul A. J. Metzemakers, 2007. "Is Bank Capital Procyclical? A Cross-Country Analysis," Credit and Capital Markets, Credit and Capital Markets, vol. 40(2), pages 225-264.
  4. repec:onb:oenbwp:y::i:155:b:1 is not listed on IDEAS
  5. Loffler, Gunter, 2004. "An anatomy of rating through the cycle," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 695-720, March.
  6. Pesaran, M.H. & Schuermann, T. & Treutler, B-J. & Weiner, S.M., 2003. "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Cambridge Working Papers in Economics 0330, Faculty of Economics, University of Cambridge.
  7. Henrik Andersen, 2009. "Norwegian banks in a recession: Procyclical implications of Basel II," Working Paper 2009/04, Norges Bank.
  8. Charles A.E. Goodhart & Pojanart Sunirand & Dimitrios P. Tsomocos, 2004. "A Risk Assessment Model for Banks," OFRC Working Papers Series 2004fe11, Oxford Financial Research Centre.
  9. Krainer, Robert E., 2014. "Monetary policy and bank lending in the Euro area: Is there a stock market channel or an interest rate channel?," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 283-298.
  10. Repullo, Rafael & Suarez, Javier, 2012. "The Procyclical Effects of Bank Capital Regulation," CEPR Discussion Papers 8897, C.E.P.R. Discussion Papers.
  11. Haibin Zhu, 2008. "Capital Regulation and Banks' Financial Decisions," International Journal of Central Banking, International Journal of Central Banking, vol. 4(1), pages 165-211, March.
  12. Thomas F. Cosimano & Ralph Chami & Adolfo Barajas, 2005. "Did the Basel Accord Cause a Credit Slowdown in Latin America?," IMF Working Papers 05/38, International Monetary Fund.
  13. Patrick de Fontnouvelle & Virginia DeJesus-Rueff & John S. Jordan & Eric S. Rosengren, 2003. "Capital and risk: new evidence on implications of large operational losses," Working Papers 03-5, Federal Reserve Bank of Boston.
  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. Andersen, Henrik, 2011. "Procyclical implications of Basel II: Can the cyclicality of capital requirements be contained?," Journal of Financial Stability, Elsevier, vol. 7(3), pages 138-154, August.
  16. Anton Korinek, 2009. "Systemic Risk: Amplification Effects, Externalities, and Policy Responses," Working Papers 155, Oesterreichische Nationalbank (Austrian Central Bank).
  17. Charles Goodhart & Pojanart Sunirand & Dimitrios Tsomocos, 2006. "A Time Series Analysis of Financial Fragility in the UK Banking System," Annals of Finance, Springer, vol. 2(1), pages 1-21, January.
  18. Martin Berka & Christian Zimmermann, 2011. "Basel Accord and financial intermediation: the impact of policy," Working Papers 2011-042, Federal Reserve Bank of St. Louis.
  19. Krainer, Robert, 2009. "Portfolio and financing adjustments for U.S. banks: Some empirical evidence," Journal of Financial Stability, Elsevier, vol. 5(1), pages 1-24, January.
  20. 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.
  21. C. Goodhart & M. Peiris & D. Tsomocos & A. Vardoulakis, 2010. "On dividend restrictions and the collapse of the interbank market," Annals of Finance, Springer, vol. 6(4), pages 455-473, October.
  22. Fernando Gonzalez & François Haas & Ronald Johannes & Mattias Persson & Liliana Toledo & Roberto Violi & Martin Wieland & Carmen Zins, 2004. "Market dynamics associated with credit ratings - a literature review," Occasional Paper Series 16, European Central Bank.
  23. 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.
  24. Rosch, Daniel, 2005. "An empirical comparison of default risk forecasts from alternative credit rating philosophies," International Journal of Forecasting, Elsevier, vol. 21(1), pages 37-51.
  25. 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.
  26. 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.
  27. Olivier Bruno & Alexandra Girod, 2011. "Bank Optimal Portfolio Risk Level Under Various Regulatory Requirements," Post-Print halshs-00723879, HAL.
  28. 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.
  29. Lea Zicchino, 2006. "A Model Of Bank Capital, Lending And The Macroeconomy: Basel I Versus Basel Ii," Manchester School, University of Manchester, vol. 74(s1), pages 50-77, 09.
  30. 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.
  31. 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.
  32. 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.
  33. 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.
  34. 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.
  35. Piotr Staszkiewicz, 2013. "Czy Bazylea zmieniła kapitały?," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 30, pages 107-120.
  36. 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, vol. 34(4), pages 713-729, April.
  37. Stefan Kerbl & Michael Sigmund, 2009. "Quantifying the Cyclicality of Regulatory Capital – First Evidence from Austria," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 18, pages 93-103.
  38. Jesús Saurina & Carlos Trucharte, 2007. "An Assessment of Basel II Procyclicality in Mortgage Portfolios," Journal of Financial Services Research, Springer, vol. 32(1), pages 81-101, October.
  39. Mohsin S. Khan, 2002. "New Issues in Bank Regulation," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 41(4), pages 333-356.
  40. Banerjee, Sreejata & Velamuri, Malathi, 2015. "The conundrum of profitability versus soundness for banks by ownership type: Evidence from the Indian banking sector," Review of Financial Economics, Elsevier, vol. 26(C), pages 12-24.
  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, vol. 57(1-2), pages 60-78, March.
  42. 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) 548, Bank of Italy, Economic Research and International Relations Area.
  43. 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.
  44. 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.
  45. Claudio E. V. Borio, 2003. "Towards a macroprudential framework for financial supervision and regulation?," BIS Working Papers 128, Bank for International Settlements.
  46. Varotto, Simone, 2012. "Stress testing credit risk: The Great Depression scenario," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3133-3149.
  47. 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.
  48. 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.
  49. Samu Peura & Esa Jokivuolle, 2004. "Simulation-based stress testing of banks’ regulatory capital adequacy," Finance 0405003, EconWPA.
  50. Repullo, Rafael & Suarez, Javier, 2008. "The Procyclical Effects of Basel II," CEPR Discussion Papers 6862, C.E.P.R. Discussion Papers.
  51. 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.
  52. Nancy Masschelein, 2007. "Monitoring pro-cyclicality under the capital requirements directive : preliminary concepts for developing a framework," Working Paper Document 120, National Bank of Belgium.
  53. 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,
  54. 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.
  55. Sunil Sharma & Ralph Chami & Mohsin S. Khan, 2003. "Emerging Issues in Banking Regulation," IMF Working Papers 03/101, International Monetary Fund.
  56. 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, vol. 36(1), pages 1-14, March.
  57. Petr Jakubik & Christian Schmieder, 2008. "Stress Testing Credit Risk: Is the Czech Republic Different from Germany?," Working Papers 2008/9, Czech National Bank, Research Department.
  58. Rodríguez Dupuy, Analía, 2007. "Loan portfolio loss distribution: Basel II unifactorial approach vs. Non parametric estimations," MPRA Paper 10697, University Library of Munich, Germany.
  59. Ruthenberg, David & Landskroner, Yoram, 2008. "Loan pricing under Basel II in an imperfectly competitive banking market," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2725-2733, December.
  60. Kazeem O. Salaam, 2015. "Procyclicality Effects on Bank Lending Decisions: A Case Study of the British Banking Sector," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 5(2), pages 185-194, April.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.