Mitigating the pro-cyclicality of basel II
By Rafael Repullo, Jesús Saurina Salas, Carlos Trucharte. 2010
168 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/b95abe688c5efd42d5028827c74b2dd5131a4a65
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Mathias Drehmann
- L. Gambacorta
- Yener Altunbaş
- David Marqués-Ibáñez
- C. Borio
- S. Mocetti
- M. Affinito
- Andrea Zaghini
In Finance
- Mathias Drehmann
- L. Gambacorta
- C. Borio
- Yener Altunbaş
- David Marqués-Ibáñez
- M. Affinito
- S. Mocetti
- Andrea Zaghini
Citations in the corpus
- The effects of countercyclical capital buffers on bank lending (2012, methodology): “The capital requirement is computed using the Basel II formula, given an estimated PIT Probability of Default (PD) from Repullo et al. (2010), assuming a loss-given-default of 45% and a 1year maturity.”
- Macroprudential Policy, Countercyclical Bank Capital Buffers, and Credit Supply: Evidence from the Spanish Dynamic Provisioning Experiments (2017, unknown): “Most of the discussions are theoretical, simulations (Repullo et al. (2010)) or policy papers (see e.g. the IMF paper by Lim et al. (2011)).”
- Pro-Cyclical Capital Regulation and Lending (2016, unknown): “Following this logic, Repullo and Suarez (2012) suggest that the business cycle side effects of Basel II may have a payoff in the long-term solvency of the banking system.”