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Capital requirements and business cycle regimes: Forward-looking modelling of default probabilities

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Cited by:

  1. Chiara Pederzoli & Costanza Torricelli, 2017. "Systemic risk measures and macroprudential stress tests: an assessment over the 2014 EBA exercise," Annals of Finance, Springer, vol. 13(3), pages 237-251, August.
  2. René Garcia & Richard Luger, 2007. "The Canadian macroeconomy and the yield curve: an equilibrium‐based approach," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 40(2), pages 561-583, May.
  3. Bonfim, Diana, 2009. "Credit risk drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 281-299, February.
  4. Alexander Karminsky & Richard Hainsworth & Vasily Solodkov, 2013. "Arm’s Length Method for Comparing Rating Scales," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 3(2), pages 114-135, December.
  5. Valerio Vacca, 2011. "An unexpected crisis? Looking at pricing effectiveness of different banks," Temi di discussione (Economic working papers) 814, Bank of Italy, Economic Research and International Relations Area.
  6. David VanHoose, 2006. "Bank Behavior Under Capital Regulation: What Does The Academic Literature Tell Us?," NFI Working Papers 2006-WP-04, Indiana State University, Scott College of Business, Networks Financial Institute.
  7. Ferrer, Alex & Casals, José & Sotoca, Sonia, 2015. "Sample dependency during unconditional credit capital estimation," Finance Research Letters, Elsevier, vol. 15(C), pages 175-186.
  8. Liu, Xiaochun, 2017. "An integrated macro-financial risk-based approach to the stressed capital requirement," Review of Financial Economics, Elsevier, vol. 34(C), pages 86-98.
  9. Faiçal Belaid, 2014. "Loan quality determinants: evaluating the contribution of bank-specific variables, macroeconomic factors and firm level information," IHEID Working Papers 04-2014, Economics Section, The Graduate Institute of International Studies.
  10. David VanHoose, 2008. "Bank Capital Regulation, Economic Stability, and Monetary Policy: What Does the Academic Literature Tell Us?," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 36(1), pages 1-14, March.
  11. Bülbül, Dilek & Lambert, Claudia, 2012. "Credit portfolio modelling and its effect on capital requirements," Discussion Papers 11/2012, Deutsche Bundesbank.
  12. 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.
  13. Lützenkirchen, Kristina & Rösch, Daniel & Scheule, Harald, 2014. "Asset portfolio securitizations and cyclicality of regulatory capital," European Journal of Operational Research, Elsevier, vol. 237(1), pages 289-302.
  14. Andras Viktor Szabo, 2022. "Credit Risk Modelling of Mortgage Loans in the Supervisory Stress Test of the Magyar Nemzeti Bank," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 21(1), pages 56-94.
  15. Ferrer, Alex & Casals, José & Sotoca, Sonia, 2015. "Capital cyclicality, conditional coverage and long-term capital assessment," Finance Research Letters, Elsevier, vol. 15(C), pages 246-256.
  16. Giuseppe Marotta & Chiara Pederzoli & Costanza Torricelli, 2005. "Forward-looking estimation of default probabilities with Italian data," Heterogeneity and monetary policy 0504, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica.
  17. Hamadi, Malika & Heinen, Andréas & Linder, Stefan & Porumb, Vlad-Andrei, 2016. "Does Basel II affect the market valuation of discretionary loan loss provisions?," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 177-192.
  18. Gerald J. Lobo & Luc Paugam & Hervé Stolowy & Pierre Astolfi, 2017. "The Effect of Business and Financial Market Cycles on Credit Ratings: Evidence from the Last Two Decades," Abacus, Accounting Foundation, University of Sydney, vol. 53(1), pages 59-93, March.
  19. Bruneau, C. & de Bandt, O. & El Amri, W., 2012. "Macroeconomic fluctuations and corporate financial fragility," Journal of Financial Stability, Elsevier, vol. 8(4), pages 219-235.
  20. Chiara Pederzoli, 2007. "Default risk: Poisson mixture and the business cycle," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 07052, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
  21. Ms. Jodi G Scarlata & Mr. Juan Sole & Alicia Novoa, 2009. "Procyclicality and Fair Value Accounting," IMF Working Papers 2009/039, International Monetary Fund.
  22. Chiara Pederzoli & Costanza Torricelli & Dimitrios Tsomocos, 2010. "Rating systems, procyclicality and Basel II: an evaluation in a general equilibrium framework," Annals of Finance, Springer, vol. 6(1), pages 33-49, January.
  23. Sun, Wenbin & Ding, Zhihua & Xu, Xiaobo & Cui, Kacie, 2020. "Internationalization and firm default risk: The roles of environmental dynamism and marketing capability," Journal of Business Research, Elsevier, vol. 121(C), pages 142-153.
  24. Ferrer, Alex & Casals, José & Sotoca, Sonia, 2016. "Efficient estimation of unconditional capital by Monte Carlo simulation," Finance Research Letters, Elsevier, vol. 16(C), pages 75-84.
  25. Alexander Karminsky, 2016. "Rating models: emerging market distinctions," Papers 1607.02422, arXiv.org.
  26. Alejandro Ferrer Pérez & José Casals Carro & Sonia Sotoca López, 2014. "A new approach to the unconditional measurement of default risk," Documentos de Trabajo del ICAE 2014-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  27. Chiara Pederzoli & Costanza Torricelli, 2017. "Systemic risk measures and macroprudential stress tests: an assessment over the 2014 EBA exercise," Annals of Finance, Springer, vol. 13(3), pages 237-251, August.
  28. Costanza Torricelli & Marianna Brunetti, 2006. "Economic activity and Recession Probabilities: spread predictive power in Italy," Computing in Economics and Finance 2006 350, Society for Computational Economics.
  29. Javier Gutiérrez Rueda & Angela González Arbeláez & Dairo Estrada, 2010. "Un análisis del exceso de capital de los bancos comerciales en Colombia," Temas de Estabilidad Financiera 052, Banco de la Republica de Colombia.
  30. Ana Clara Bueno Teixeira Feitosa Noronha & Daniel Oliveira Cajueiro & Benjamin Miranda Tabak, 2011. "Bank Capital Buffers, Lending Growth Andeconomic Cycle: Empirical Evidence For Brazil," Anais do XXXVIII Encontro Nacional de Economia [Proceedings of the 38th Brazilian Economics Meeting] 035, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
  31. Marcucci, Juri & Quagliariello, Mario, 2009. "Asymmetric effects of the business cycle on bank credit risk," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1624-1635, September.
  32. 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.
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