Procyclicality and the New Basel Accord: banks' choice of loan rating system
By Eva Catarineu-Rabell, P. Jackson, Dimitrios P. Tsomocos. 2002
245 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/06cca4ad265633393c6b2f3a8705750e00fde110
How researchers see this paper
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In Finance
- C. Borio
- Mathias Drehmann
- C. Goodhart
- Rafael Repullo
- Javier Suárez
- Pojanart Sunirand
- Dimitrios P. Tsomocos
- Kostas Tsatsaronis
Citations in the corpus
- Portfolio and Financing Adjustments for U.S. Banks: Some Empirical Evidence (2008, unknown): “…Lang and Nakamura (1995), Berger and Udell (1994), Hancock and Wilcox (1994), Peek and Rosengren (1995), Shrives and Dahl (1995), Stanton (1998), Wagster (1999), Borio, Furfine, and Lowe (2001), Estrella (2004), Pennacchi (2005), and Catarineu-Rabell, Jackson, and Tsomocos (2005) among many others.”
- A risk assessment model for banks (2005, methodology): “The table also summarises whether the value of each variable reported is (1) calibrated against real data, (2) arbitrarily selected, or (3) endogenously solved.”
- Are Credit Ratings Procyclical (2004, background): “Catarineu-Rabell et al. (2003) provide evidence, on the basis of transition matrices, that downgrades from investment to speculative grade by the rating agencies during the 1990–1992 recession were much less than those that would have been implied by market-based models (i.e. a Merton-type model).”
- The Procyclical Effects of Basel II (2008, methodology): “…associated with the IRB approach of Basel II.21 This means that we assess the implications of the new capital requirements under the assumption that the supervisor’s model of reference is correct.22 In line with the one-year ahead value-at-risk perspective of Basel II, the parameterization…”
- A Model to Analyse Financial Fragility: Applications (2004, unknown): “v sbμ hb ≤ ∆(2) + psq s +ms , s ∈ S (3)”
- Towards a Macroprudential Framework for Financial Supervision and Regulation? (2003, unknown): “52 See, in addition, Jordan et al (2002) and Catarineu-Rabell et al (2002).”