Credit Risk Measurement and Procyclicality

By Philip Lowe. 2002

201 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/4e17be0554d4ce80dd49f30f30126a9522126880

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Citations in the corpus

Monetary and Prudential Policies at a Crossroads? New Challenges in the New Century (2006, methodology): “This can be regarded as a “paradox of credibility” (Borio and Lowe (2002a)).”
Bank size and risk-taking under Basel II (2005, background): “Several theoretical papers deal with the potentially adverse macroeconomic effects of Basel II, especially with its procyclicality and its neglect of the endogeneity of financial risk (see, e. g., Lowe (2002), Kashyap and Stein (2004), and Dańıelsson, Shin, and Zigrand (2004)).”
Towards a Macroprudential Framework for Financial Supervision and Regulation (2003, unknown): “56 These issues are discussed in Lowe (2002) .”
The Financial Turmoil of 2007-?: A Preliminary Assessment and Some Policy Considerations (2008, unknown): “…the form of the coexistence of unusually rapid expansion in credit and asset prices, have useful predictive content for subsequent widespread financial distress, output weakness and disinflation, over horizons of two to four years ahead, depending on the calibration [Borio and Lowe (2002, 2004)].”
Pro-Cyclical Capital Regulation and Lending (2016, unknown): “Lowe (2001). Procyclicality of the financial system and financial stability: Issues and policy options.”
Loan Pricing Under Basel Capital Requirements (2004, methodology): “Next, differentiating the condition (15) that implicitly defines the equilibrium loan rate r∗ j , and using the definitions (12) and (13) of Fj(p) and b pj, gives:”
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).”
Cyclicality in Catastrophic and Operational Risk Measurements (2007, unknown): “Lowe (2002) acknowledges the difficulties in incorporating more complex cyclical models.”
What Can (Macro-) Prudential Policy do to Support Monetary Policy? (2007, unknown): “At the same time, it is probably unrealistic to expect these improvements to be sufficient by themselves (Borio et al (2001), Lowe (2002)).12 First, banks’ internal rating systems tend to be rather procyclical to start with, typically producing low readings of risk in booming conditions, even when…”
Credit Risk Drivers: Evaluating the Contribution of Firm Level Information and of Macroeconomic Dynamics (2009, unknown): “Other authors who tried to consider business cycle conditions in credit risk models include Lis et al (2000), Nickell et al (2000), Kent and D’Arcy (2001), Lowe (2002), Berger and Udell (2003), Carling et al (2002, 2004), Jiménez and Saurina (2006) or Figlewski et al (2006) 1.”
Assessing the risk of banking crises (2002, methodology): “As in Borio and Lowe (2002) we argue that it may be possible recognise the build-up of one set of vulnerabilities that foreshadows banking distress with a reasonable degree of confidence, although the exact timing of the crises remains unpredictable.”