Results 151 to 160 of about 55,514 (192)

Does Basel Save Our Banks? The Effect of Basel I Capital Requirements on Bank Failures

SSRN Electronic Journal, 2015
We develop an empirical model to test the relation between compliance with Basel I capital requirements and the probability of bank failure during ‘normal’ economic conditions and times of financial crises. We also seek to determine whether increased capital requirements would further reduce the rate of bank failure. Specific bank data, as well as some
Sebastien Gay, Balthazar D. Bergkamp
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Basel II Capital Requirement Sensitivity to the Definition of Default

SSRN Electronic Journal, 2008
The paper is motivated by a disturbing observation according to which the outcome of the regulatory formula significantly depends on the definition of default used to measure the probability of default (PD) and the loss given default (LGD) parameters. Basel II regulatory capital should estimate with certain probability level unexpected credit losses on
openaire   +1 more source

Impact of Expected Shortfall Approach on Capital Requirement Under Basel

Review of Pacific Basin Financial Markets and Policies, 2019
This paper proposes a method that uses volatility index of US and six other markets of Pacific Basin, namely Hong Kong, Australia, India, Japan, Korea, and China, to provide value-at-risk (VaR) and expected shortfall (ES) forecasts. Empirical constants that are used to multiply the levels of volatility indexes for estimating VaR and ES of various ...
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Extending the Basel II approach to estimate capital requirements for equity investments

Journal of Banking & Finance, 2009
Abstract Under the Basel II banking regulatory capital regime the capital requirements for credit exposures are calculated using the Asymptotic Single Risk Factor (ASRF) approach. The capital requirement is taken to be the contribution of an exposure to the unexpected loss on the bank’s diversified portfolio. Here we extend this approach to calculate
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Basel III capital requirements and heterogeneous banks

2018
A completely revised version of this paper has been published as Müller, Carola: Capital Requirements, Market Structure, and Heterogeneous Banks. IWH Discussion Papers 15/2022. Halle (Saale) 2022.
openaire   +1 more source

Market crises and Basel capital requirements: Could Basel III have been different? Evidence from Portugal, Ireland, Greece and Spain (PIGS)

, 2013
A. Rossignolo, Meryem Duygun Fethi, M. Shaban   +2 more
semanticscholar   +1 more source

Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules

, 2020
Vincenzo Russo, Valentina Lagasio, M. Brogi, F. Fabozzi   +3 more
semanticscholar   +1 more source

Enforcing the 1988 Basel Capital Requirements: Did it Curtail Bank Credit in Emerging Economies?

, 2001
M. Chiuri, G. Ferri, G. Majnoni
semanticscholar   +1 more source

Estimating regulatory capital requirements for reverse mortgages. An international comparison

International Review of Economics and Finance, 2021
Iván de la Fuente, Eliseo Navarro, G. Serna   +2 more
semanticscholar   +1 more source

Capital Requirements: Basel III Framework

2016
openaire   +2 more sources