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Lending decisions, procyclicality and the New Basel Capital Accord

In: Investigating the relationship between the financial and real economy

Author

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  • Fabrizio Fabi

    (Bank of Italy)

  • Sebastiano Laviola

    (Bank of Italy)

  • Paolo Marullo Reedtz

    (Bank of Italy)

Abstract

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Suggested Citation

  • 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.
    • Handle: RePEc:bis:bisbpc:22-19
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    File URL: http://www.bis.org/publ/bppdf/bispap22s.pdf
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    References listed on IDEAS

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    1. Edward I. Altman & Andrea Resti & Andrea Sironi, 2002. "The link between default and recovery rates: effects on the procyclicality of regulatory capital ratios," BIS Working Papers 113, Bank for International Settlements.
    2. Eva Catarineu-Rabell & Patricia Jackson & Dimitrios Tsomocos, 2005. "Procyclicality and the new Basel Accord - banks’ choice of loan rating system," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 26(3), pages 537-557, October.
    3. Lopez, Jose A., 2004. "The empirical relationship between average asset correlation, firm probability of default, and asset size," Journal of Financial Intermediation, Elsevier, vol. 13(2), pages 265-283, April.
    4. Claudio Borio & Craig Furfine & Philip Lowe, 2001. "Procyclicality of the financial system and financial stability: issues and policy options," BIS Papers chapters, in: Bank for International Settlements (ed.), Marrying the macro- and micro-prudential dimensions of financial stability, volume 1, pages 1-57, Bank for International Settlements.
    5. Dietsch, Michel & Petey, Joel, 2004. "Should SME exposures be treated as retail or corporate exposures? A comparative analysis of default probabilities and asset correlations in French and German SMEs," Journal of Banking & Finance, Elsevier, vol. 28(4), pages 773-788, April.
    6. Philip Lowe & Miguel A. Segoviano, 2002. "Internal ratings, the business cycle and capital requirements: some evidence from an emerging market economy," BIS Working Papers 117, Bank for International Settlements.
    7. Philip Lowe, 2002. "Credit risk measurement and procyclicality," BIS Working Papers 116, Bank for International Settlements.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Mario Sarcinelli, 2010. "Past and future regulation to prevent a systemic financial crisis," PSL Quarterly Review, Economia civile, vol. 63(253), pages 103-129.
    2. Antão, Paula & Lacerda, Ana, 2011. "Capital requirements under the credit risk-based framework," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1380-1390, June.
    3. Barbara Luppi & Massimiliano Marzo & Antonello E. Scorcu, 2007. "Credit risk and Basel II: Are non-profit firms financially different?," Working Paper series 30_07, Rimini Centre for Economic Analysis.
    4. repec:rim:rimwps:30-07 is not listed on IDEAS

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