Internal ratings, the business cycle and capital requirements: some evidence from an emerging market economy

By Miguel A. Segoviano, Philip Lowe. 2002

116 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/015d4696fa971e0de9684dc0e81538b98e7aed18

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Citations in the corpus

Monetary and Prudential Policies at a Crossroads? New Challenges in the New Century (2006, background): “…on this has been growing exponentially; see eg Borio and Crockett (2000), Borio et al (2001), Danielsson et al (2001), ECB (2001), Gordy and Howells (2004), Catarineu-Rebell et al (2003), Segoviano and Lowe (2002), Kashyap and Stein (2004), Ayuso et al (2004) and Taylor and Goodhart (2005)).”
What Can (Macro-) Prudential Policy do to Support Monetary Policy? (2007, unknown): “…on given (fixed) portfolios pointed to an additional procyclicality of the order of up to 30% of the minimum requirement, especially in the case of the use of internal ratings (eg, Segoviano and Lowe (2002), Catarineu-Rabell et al (2003), Kashyap and Stein (2004), Gordy and Howells (2004)).”
Bank Loan Loss Provisions Research: A Review (2017, background): “…provisions cover expected loan losses (Majnoni, Miller, & Powell, 2004).4 Basel II was also criticised for being procyclical with fluctuating economic conditions (see Turner, 2000; Borio et al., 2001, pp. 1e57; Danielsson et al., 2001; Segoviano and Lowe, 2002; Repullo, Saurina, & Trucharte, 2010).”
Procyclicality and the New Basel Accord: banks' choice of loan rating system (2002, unknown): “Segoviano and Lowe (2002) looking at Mexican bank ratings also find substantial swings.”
Pro-Cyclical Capital Regulation and Lending (2016, background): “We address these issues by examining changes in bank lending in Germany around 1See Peltzman (1970), Koehn and Santomero (1980), Kim and Santomero (1988), Blum and Hellwig (1995), Diamond and Rajan (2000, 2001), Morrison and White (2005), or Acharya (2009).”
Towards a Macroprudential Framework for Financial Supervision and Regulation? (2003, unknown): “Source: Segoviano and Lowe (2002).”
Cyclical implications of the Basel II capital standards (2004, background): “Unlike the freezing versus imputation question, here it is not obvious to us that one method is inherently 24 1Q/2004, Economic Perspectives more attractive than another.”
Whither monetary and financial stability? the implications of evolving policy regimes (2004, unknown): “Admittedly, minimum capital requirements are likely to be more procyclical, as suggested by some empirical evidence (eg Segoviano and Lowe (2002), Jordan et al (2002) and CatarineuRabell et al (2002)).”
Capital Regulation, Risk-Taking and Monetary Policy: A Missing Link in the Transmission Mechanism? (2008, unknown): “These include, inter alia, Segoviano and Lowe (2002), Catarineau-Rabell et al (2003), Jordan et al (2003), Corcóstegui et al (2003), Carling et al (2002), Kashyap and Stein (2004) and Gordy and Howells (2006).”