Is the regulatory downturn LGD adequate? Performance analysis and alternative methods
Author
Abstract
Suggested Citation
DOI: 10.1080/01605682.2021.1973349
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- David Miles & Jing Yang & Gilberto Marcheggiano, 2013.
"Optimal Bank Capital,"
Economic Journal, Royal Economic Society, vol. 123(567), pages 1-37, March.
- Miles, David & Yang, Jing & Marcheggiano, Gilberto, 2011. "Optimal Bank Capital," CEPR Discussion Papers 8333, C.E.P.R. Discussion Papers.
- Miles, David & Yang, Jing & Marcheggiano, Gilberto, 2011. "Optimal Bank Capital," Discussion Papers 31, Monetary Policy Committee Unit, Bank of England.
- Mr. Thomas F. Cosimano & Ms. Dalia S Hakura, 2011. "Bank Behavior in Response to Basel Iii: A Cross-Country Analysis," IMF Working Papers 2011/119, International Monetary Fund.
- repec:uts:ppaper:v:17:y:2011:i:1:p:120-144 is not listed on IDEAS
- Benjamin Bade & Daniel Roesch & Harald Scheule, 2011. "Default and Recovery Risk Dependencies in a Simple Credit Risk Model," Published Paper Series 2011-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Van den Heuvel, Skander J., 2008.
"The welfare cost of bank capital requirements,"
Journal of Monetary Economics, Elsevier, vol. 55(2), pages 298-320, March.
- Skander Van den Heuvel, 2005. "The Welfare Cost of Bank Capital Requirements," 2005 Meeting Papers 880, Society for Economic Dynamics.
- Betz, Jennifer & Kellner, Ralf & Rösch, Daniel, 2018. "Systematic Effects among Loss Given Defaults and their Implications on Downturn Estimation," European Journal of Operational Research, Elsevier, vol. 271(3), pages 1113-1144.
- Koopman, Siem Jan & Lucas, André & Schwaab, Bernd, 2011. "Modeling frailty-correlated defaults using many macroeconomic covariates," Journal of Econometrics, Elsevier, vol. 162(2), pages 312-325, June.
- Benjamin Bade & Daniel Rösch & Harald Scheule, 2011. "Default and Recovery Risk Dependencies in a Simple Credit Risk Model," European Financial Management, European Financial Management Association, vol. 17(1), pages 120-144, January.
- Dirk Tasche, 2004. "The single risk factor approach to capital charges in case of correlated loss given default rates," Papers cond-mat/0402390, arXiv.org, revised Feb 2004.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Barbagli, Matteo & Vrins, Frédéric, 2023.
"Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework,"
Economic Modelling, Elsevier, vol. 125(C).
- Barbagli, Matteo & Vrins, Frédéric, 2023. "Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework," LIDAM Reprints LFIN 2023009, Université catholique de Louvain, Louvain Finance (LFIN).
- Fidrmuc, Jarko & Lind, Ronja, 2020.
"Macroeconomic impact of Basel III: Evidence from a meta-analysis,"
Journal of Banking & Finance, Elsevier, vol. 112(C).
- Jarko Fidrmuc & Ronja Lind, 2017. "Macroeconomic Impact of Basel III: Evidence from a Meta-Analysis," Working and Discussion Papers WP 5/2017, Research Department, National Bank of Slovakia.
- Fidrmuc, Jarko & Lind, Ronja, 2017. "Macroeconomic Impact of Basel III: Evidence from a Meta-Analysis," Beiträge zur Jahrestagung 2016 (Witten/Herdecke) 175189, Verein für Socialpolitik, Ausschuss für Wirtschaftssysteme und Institutionenökonomik.
- repec:czx:journl:v:21:y:2014:i:33:id:210 is not listed on IDEAS
- Frank Ranganai Matenda & Mabutho Sibanda & Eriyoti Chikodza & Victor Gumbo, 2022. "Corporate Loan Recovery Rates under Downturn Conditions in a Developing Economy: Evidence from Zimbabwe," Risks, MDPI, vol. 10(10), pages 1-24, October.
- Paolo Angelini & Laurent Clerc & Vasco Cúrdia & Leonardo Gambacorta & Andrea Gerali & Alberto Locarno & Roberto Motto & Werner Roeger & Skander Van den Heuvel & Jan Vlček, 2015.
"Basel III: Long-term Impact on Economic Performance and Fluctuations,"
Manchester School, University of Manchester, vol. 83(2), pages 217-251, March.
- Paolo Angelini & Laurent Clerc & Vasco C�rdia & Leonardo Gambacorta & Andrea Gerali & Alberto Locarno & Roberto Motto & Werner Roeger & Skander Van den Heuvel & Jan Vlcek, 2011. "Basel III: Long-term impact on economic performance and fluctuations," Questioni di Economia e Finanza (Occasional Papers) 87, Bank of Italy, Economic Research and International Relations Area.
- Angelini, P. & Clerc, L. & Cúrdia, V. & Gambacorta, L. & Gerali, A. & Locarno, A. & Motto, R. & Roeger, W. & Van den Heuvel, S. & Vlcek, J., 2011. "BASEL III: Long-term impact on economic performance and fluctuations," Working papers 323, Banque de France.
- Paolo Angelini & Laurent Clerc & Vasco Curdia & Leonardo Gambacorta & Andrea Gerali & Skander J. van den Heuvel & Alberto Locarno & Roberto Motto & Werner Roeger & Jan Vlček, 2011. "BASEL III: long-term impact on economic performance and fluctuations," Staff Reports 485, Federal Reserve Bank of New York.
- Paolo Angelini & Laurent Clerc & Vasco Cúrdia & Leonardo Gambacorta & Andrea Gerali & Alberto Locarno & Roberto Motto & Werner Roeger & Skander Van den Heuvel & Jan Vlcek, 2011. "BASEL III: Long-term impact on economic performance and fluctuations," BIS Working Papers 338, Bank for International Settlements.
- Dominika Ehrenbergerová & Martin Hodula & Zuzana Gric, 2022.
"Does capital-based regulation affect bank pricing policy?,"
Journal of Regulatory Economics, Springer, vol. 61(2), pages 135-167, April.
- Dominika Ehrenbergerova & Martin Hodula & Zuzana Rakovska, 2020. "Does Capital-Based Regulation Affect Bank Pricing Policy?," Working Papers 2020/5, Czech National Bank.
- Hafiz Waqas Kamran & Abdelnaser Omran & Shamsul Bahrain Mohamed-Arshad, 2019. "Risk Management, Capital Adequacy and Audit Quality for Financial Stability: Assessment from Commercial Banks of Pakistan," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 9(6), pages 654-664, June.
- Behn, Markus & Daminato, Claudio & Salleo, Carmelo, 2019. "A dynamic model of bank behaviour under multiple regulatory constraints," Working Paper Series 2233, European Central Bank.
- Sumera Anis & Abdul Rashid, 2017. "Optimal Bank Capital And Impact Of The Mm Theorem: A Study Of The Pakistani Financial Sector," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(02), pages 1-21, June.
- Yan, Meilan & Hall, Maximilian J.B. & Turner, Paul, 2012.
"A cost–benefit analysis of Basel III: Some evidence from the UK,"
International Review of Financial Analysis, Elsevier, vol. 25(C), pages 73-82.
- Meilin Yan & Maximilian J. B. Hall & Paul Turner, 2011. "A Cost-Benefit Analysis of Basel III: Some Evidence from the UK," Discussion Paper Series 2011_05, Department of Economics, Loughborough University, revised Nov 2011.
- Jens Dick‐Nielsen & Jacob Gyntelberg & Christoffer Thimsen, 2022. "The Cost of Capital for Banks: Evidence from Analyst Earnings Forecasts," Journal of Finance, American Finance Association, vol. 77(5), pages 2577-2611, October.
- Jiri Witzany, 2013. "Estimating Default and Recovery Rate Correlations," Working Papers IES 2013/03, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2013.
- Florian Kaposty & Philipp Klein & Matthias Löderbusch & Andreas Pfingsten, 2022. "Loss given default in SME leasing," Review of Managerial Science, Springer, vol. 16(5), pages 1561-1597, July.
- Franco Varetto, 2017. "La correlazione tra PD ed LGD nell’analisi del rischio di credito/The correlation between probability of default and loss given default in the credit risk analysis," IRCrES Working Paper 201714, CNR-IRCrES Research Institute on Sustainable Economic Growth - Moncalieri (TO) ITALY - former Institute for Economic Research on Firms and Growth - Torino (TO) ITALY.
- Betz, Jennifer & Kellner, Ralf & Rösch, Daniel, 2018. "Systematic Effects among Loss Given Defaults and their Implications on Downturn Estimation," European Journal of Operational Research, Elsevier, vol. 271(3), pages 1113-1144.
- Rubén García-Céspedes & Manuel Moreno, 2020. "Random LGD adjustments in the Vasicek credit risk model," The European Journal of Finance, Taylor & Francis Journals, vol. 26(18), pages 1856-1875, December.
- Figuet, Jean-Marc & Humblot, Thomas & Lahet, Delphine, 2015.
"Cross-border banking claims on emerging countries: The Basel III Banking Reforms in a push and pull framework,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 294-310.
- Jean-Marc Figuet & Thomas Humblot & Delphine Lahet, 2015. "Cross-border banking claims on emerging countries: The Basel III Banking Reforms in a push and pull framework," Post-Print hal-03897755, HAL.
- Abu, Benjamin Musah & Domanban, Paul Bata & Haruna, Issahaku, 2017. "Microcredit Loan Repayment Default among Small Scale Enterprises: A Double Hurdle Approach," MPRA Paper 101576, University Library of Munich, Germany, revised 12 Mar 2017.
- Alexander F. R. Koivusalo & Rudi Schafer, 2011. "Calibration of structural and reduced-form recovery models," Papers 1102.4864, arXiv.org.
- M. Birn & M. Dietsch & D. Durant, 2017. "How to reach all Basel requirements at the same time?," Débats économiques et financiers 28, Banque de France.
- Thomas Hartmann-Wendels, 2013. "Basel III — Auswirkungen auf Banken und Finanzsystem," Schmalenbach Journal of Business Research, Springer, vol. 65(67), pages 72-96, January.
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:taf:tjorxx:v:74:y:2023:i:3:p:736-747. 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.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/tjor .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.