Capital requirements under the credit risk-based framework
Abstract
This work aims to study the hypothesis of lower capitalization of banks under the risk-based rules introduced in Basel II. In this sense, an assessment of the impact of these rules on the capital requirements for non-financial firms’ credit risk is performed. A comparison with Basel I is presented and intervals of variation for the risk drivers such that capital requirements exceed the ones under Basel I are established. Data for a European...
Paper Details
Title
Capital requirements under the credit risk-based framework
Published Date
Jun 1, 2011
Volume
35
Issue
6
Pages
1380 - 1390
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