An Assessment of Basel II Procyclicality in Mortgage Portfolios
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DOI: 10.1007/s10693-007-0008-1
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- Jesús Saurina & Carlos Trucharte, 2007. "An assessment of Basel II procyclicality in mortgage portfolios," Working Papers 0712, Banco de España.
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Citations
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Cited by:
- Ms. Silvia Sgherri & Bertrand Gruss, 2009.
"The Volatility Costs of Procyclical Lending Standards: An Assessment Using a Dsge Model,"
IMF Working Papers
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- Bertrand Gruss & Silvia Sgherri, 2009. "The Volatility Costs of Procyclical Lending Standards: An Assessment Using a DSGE Model," Economics Working Papers ECO2009/07, European University Institute.
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"The Procyclical Effects of Bank Capital Regulation,"
The Review of Financial Studies, Society for Financial Studies, vol. 26(2), pages 452-490.
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- Rafael Repullo & Javier Suarez, 2012. "The Procyclical Effects of Bank Capital Regulation," Working Papers wp2012_1202, CEMFI.
- Repullo, R. & Suarez, J., 2010. "The Procyclical Effects of Bank Capital Regulation," Discussion Paper 2010-29S, Tilburg University, Center for Economic Research.
- Repullo, R. & Suarez, J., 2010. "The Procyclical Effects of Bank Capital Regulation," Other publications TiSEM c763eb06-7096-4075-a652-2, Tilburg University, School of Economics and Management.
- Repullo, Rafael & Suarez, Javier, 2012. "The Procyclical Effects of Bank Capital Regulation," CEPR Discussion Papers 8897, C.E.P.R. Discussion Papers.
- Bernd Engelmann & Ha Pham, 2020. "Measuring the Performance of Bank Loans under Basel II/III and IFRS 9/CECL," Risks, MDPI, vol. 8(3), pages 1-21, September.
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Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 68(3), September.
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Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 25(64), pages 659-702.
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"Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework,"
Economic Modelling, Elsevier, vol. 125(C).
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- Santiago Fernández de Lis & Alicia Garcia-Herrero, 2010.
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- Jonathan Crook & Tony Bellotti, 2010. "Time varying and dynamic models for default risk in consumer loans," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 173(2), pages 283-305, April.
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- Evžen Kocenda & Martin Vojtek, 2009. "Default Predictors and Credit Scoring Models for Retail Banking," CESifo Working Paper Series 2862, CESifo.
- Evzen Kocenda & Martin Vojtek, 2011. "Default Predictors in Retail Credit Scoring: Evidence from Czech Banking Data," William Davidson Institute Working Papers Series wp1015, William Davidson Institute at the University of Michigan.
- Rainer Baule & Christian Tallau, 2016. "Revisiting Basel risk weights: cross-sectional risk sensitivity and cyclicality," Journal of Business Economics, Springer, vol. 86(8), pages 905-931, November.
- Maarten R.C. Van Oordt, 2023.
"Calibrating the Magnitude of the Countercyclical Capital Buffer Using Market‐Based Stress Tests,"
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- Maarten van Oordt, 2018. "Calibrating the Magnitude of the Countercyclical Capital Buffer Using Market-Based Stress Tests," Staff Working Papers 18-54, Bank of Canada.
- Ferrari, Stijn & Van Roy, Patrick & Vespro, Cristina, 2021.
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- Bellotti, Tony & Crook, Jonathan, 2012. "Loss given default models incorporating macroeconomic variables for credit cards," International Journal of Forecasting, Elsevier, vol. 28(1), pages 171-182.
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- Tetiana Davydiuk, 2017. "Dynamic Bank Capital Requirements," 2017 Meeting Papers 1328, Society for Economic Dynamics.
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- 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.
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Keywords
Procyclicality; Basel II; rating systems; mortgages; E32; G18; G21;All these keywords.
JEL classification:
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
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