Add to ORKGAbstract The introduction of Basel II has raised concerns about the possible impact of risk-sensitive capital requirement on the business cycle. Several approaches have been proposed to deal with the procyclicality issue. In this paper we take a general equilibrium one, which is an appropriate framework for a comprehensive analysis of different proposals since it allows to account for banks' endogenous strategies in relation to the other agents' behaviour. The aim of the present paper is to set up a model which allows to evaluate different rating systems in relation to the procyclicality issue. Our set up extends previous models so as to allow the analysis of both the effects of different rating systems on banks' portfolios (...
Basel II and procyclicality Procyclicality is an often heard criticism of the project of reform of ...
With the financial crisis spreading to the real economy, the discussion about potential procyclical ...
In this paper we develop a probability of default (PD) model for mortgage loans, taking advantage of...
The introduction of Basel II has raised concerns about the possibleimpact of risk-sensitive capital ...
The introduction of Basel II has raised concerns about the possibleimpact of risk-sensitive capital ...
The introduction of Basel II has raised concerns about the potential impact of risk-sensitive capita...
The introduction of Basel II has raised concerns about the potential impact of risk-sensitive capita...
The introduction ofBasel II has raised concerns about the potential impactof risk-sensitive capital ...
The introduction ofBasel II has raised concerns about the potential impactof risk-sensitive capital ...
The Basel Committee on Banking Supervision is proposing to introduce, in 2006, new risk-based requir...
The Basel Committee on Banking Supervision is proposing to introduce, in 2006, new risk-based requir...
The term procyclicality refers to the ability of a system to amplify business cycles. The recent fin...
The term procyclicality refers to the ability of a system to amplify business cycles. The recent fin...
The Basel Committee on Banking Supervision is proposing to introduce, in 2006, new risk-based requir...
This paper compares alternative procedures to mitigate the procyclicality of the new risk-sensitive ...
Basel II and procyclicality Procyclicality is an often heard criticism of the project of reform of ...
With the financial crisis spreading to the real economy, the discussion about potential procyclical ...
In this paper we develop a probability of default (PD) model for mortgage loans, taking advantage of...
The introduction of Basel II has raised concerns about the possibleimpact of risk-sensitive capital ...
The introduction of Basel II has raised concerns about the possibleimpact of risk-sensitive capital ...
The introduction of Basel II has raised concerns about the potential impact of risk-sensitive capita...
The introduction of Basel II has raised concerns about the potential impact of risk-sensitive capita...
The introduction ofBasel II has raised concerns about the potential impactof risk-sensitive capital ...
The introduction ofBasel II has raised concerns about the potential impactof risk-sensitive capital ...
The Basel Committee on Banking Supervision is proposing to introduce, in 2006, new risk-based requir...
The Basel Committee on Banking Supervision is proposing to introduce, in 2006, new risk-based requir...
The term procyclicality refers to the ability of a system to amplify business cycles. The recent fin...
The term procyclicality refers to the ability of a system to amplify business cycles. The recent fin...
The Basel Committee on Banking Supervision is proposing to introduce, in 2006, new risk-based requir...
This paper compares alternative procedures to mitigate the procyclicality of the new risk-sensitive ...
Basel II and procyclicality Procyclicality is an often heard criticism of the project of reform of ...
With the financial crisis spreading to the real economy, the discussion about potential procyclical ...
In this paper we develop a probability of default (PD) model for mortgage loans, taking advantage of...