Results 131 to 140 of about 55,514 (192)

Implementing Basel Capital Requirements - Russian Specific

SSRN Electronic Journal, 2015
This paper examines most recent developments in the area of international capital requirements implementation in the Russian banking sector. Research on the current status and general viability of the global standards implementation in Russia seems to be of the high importance due to the unique character of the Russian economic and political ...
N. Guseva
openaire   +2 more sources

Capital requirements and mortgage pricing: Evidence from Basel II

Journal of Financial Intermediation, 2021
Abstract As a result of the Basel II reforms, capital requirements on UK mortgages fell substantially in coincidence with the financial crisis. We exploit a novel, loan-level dataset on within-lender variation in risk-weighted capital requirements and a triple-difference identification strategy to estimate the pass through of capital requirements to ...
Matteo Benetton, Peter Eckley, Nicola Garbarino, Liam Kirwin, Georgia Latsi   +4 more
openaire   +2 more sources

The Basel Capital Requirements: a First Step Towards Global Regulation

2001
When they were first introduced in 1988, the Basel Capital Requirements were a major step forward in at least two respects. First, and substantively, they were basis for strengthening the international banking system by raising the amounts of capital banks were required to hold.
A. Crockett
openaire   +2 more sources

Rating Granularity and Basel II Capital Requirements

SSRN Electronic Journal, 2003
In this paper we examine the influence of the granularity of a rating system on the resulting regulatory capital requirements with respect to the framework released by the Basel Committee on Banking Supervision (Basel II). We define granularity as the number of cohorts or rating classes used to measure default rates and the relative size of these ...
Jankowitsch, Rainer, Pichler, Stefan
openaire   +3 more sources

Macro-Model-Based Stress Testing of Basel II Capital Requirements [PDF]

SSRN Electronic Journal, 2008
Basel II framework requires banks to conduct stress tests on their potential future minimum capital requirements and consider 'at least the effect of mild recession scenarios'. We propose a stress testing framework for minimum capital requirements in which banks' corporate credit risks are modeled with macroeconomic variables.
Jokivuolle, Esa, Virolainen, Kimmo, Vähämaa, Oskari   +2 more
openaire   +1 more source

Capital requirements – risk taking/stability nexus during the global financial crisis and COVID-19: international evidence of Islamic banks

Journal of Islamic Accounting and Business Research, 2023
Purpose This study aims to determine how Basel III capital requirements affect the stability of Islamic banks globally during the global financial crisis and the COVID-19 pandemic.
Xiaoya Ding, Razali Haron, Aznan Hasan
semanticscholar   +1 more source

CRR III implementation: Impact on capital requirements, performance and business models of European banks

Journal of Risk Management in Financial Institutions, 2022
The European Banking Package II finalises the implementation of the final Basel III standards, which the industry refers to as ‘Basel IV’. It entails many changes to the methods used to determine capital requirements and represents a significant ...
Martin Neisen, Hermann Schulte-Mattler
semanticscholar   +1 more source

Basel's Value-at-Risk Capital Requirement Regulation: An Efficiency Analysis

SSRN Electronic Journal, 2004
We analyze the optimal portfolio policies of expected utility maximizing agents under VaR Capital Requirement (VaR-CR) regulation in comparison to the optimal policy under exogenously-imposed VaR Limit (VaR-L) and Limited-Expected-Loss (LEL) regulations.
Guy Kaplanski, Haim Levy
openaire   +1 more source

Housing and credit market shocks: Exploring the role of rule-based Basel III counter-cyclical capital requirements

Economic Modelling, 2019
This paper examines the extent to which the Basel III bank capital regulation attenuates fluctuations in housing and credit markets and fosters financial and macroeconomic stability.
Guangling Liu, T. Molise
semanticscholar   +1 more source