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An assessment of Basel II procyclicality in mortgage portfolios. (2007). Trucharte, Carlos ; Saurina, Jesús.
In: Working Papers.
RePEc:bde:wpaper:0712.

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Cited: 33

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Cites: 34

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  1. Calibrating the Magnitude of the Countercyclical Capital Buffer Using Market?Based Stress Tests. (2023). van Oordt, Maarten.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:55:y:2023:i:2-3:p:465-501.

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  2. Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework. (2023). Vrins, Frederic ; Barbagli, Matteo.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001335.

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  3. Measuring the Performance of Bank Loans under Basel II/III and IFRS 9/CECL. (2020). Pham, Ha ; Engelmann, Bernd.
    In: Risks.
    RePEc:gam:jrisks:v:8:y:2020:i:3:p:93-:d:407903.

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  4. Does monetary policy influence banks’ risk weights under the internal ratings-based approach?. (2019). Malovana, Simona ; Bro, Vaclav ; Kolcunova, Dominika.
    In: Economic Systems.
    RePEc:eee:ecosys:v:43:y:2019:i:2:10.

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  5. Monetary policy, macroprudential policy, and financial stability. (2019). Repullo, Rafael ; Martinez-Miera, David.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20192297.

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  6. Sensitivity of credit risk stress test results: Modelling issues with an application to Belgium. (2018). Van Roy, Patrick ; Vespro, Cristina ; Ferrari, Stijn.
    In: Working Paper Research.
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  7. Dynamic Bank Capital Requirements. (2017). Davydiuk, Tetiana .
    In: 2017 Meeting Papers.
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  8. Interbank market failure and macro-prudential policies. (2017). Schuler, Tobias ; Corrado, Luisa.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:33:y:2017:i:c:p:133-149.

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  9. The creation function of a junior listing venue: An empirical test on the Alternative Investment Market. (2016). Revest, Valerie ; Sapio, Alessandro.
    In: LEM Papers Series.
    RePEc:ssa:lemwps:2016/32.

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  10. Revisiting Basel risk weights: cross-sectional risk sensitivity and cyclicality. (2016). Tallau, Christian ; Baule, Rainer.
    In: Journal of Business Economics.
    RePEc:spr:jbecon:v:86:y:2016:i:8:d:10.1007_s11573-016-0824-6.

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  11. Pro-cyclical capital regulation and lending. (2014). Wachtel, Paul ; Haselmann, Rainer ; Behn, Markus.
    In: Discussion Papers.
    RePEc:zbw:bubdps:322014.

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  12. Credit Default and Business Cycles: An Empirical Investigation of Brazilian Retail Loans. (2014). Correa, Arnildo ; da Silva, Antonio Carlos ; Neves, Myrian ; Marins, Jaqueline .
    In: Revista Brasileira de Economia - RBE.
    RePEc:fgv:epgrbe:v:68:y:2014:i:3:a:3925.

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  13. Credit Default and Business Cycles: An Empirical Investigation of Brazilian Retail Loans. (2014). da Silva, Antonio Carlos ; Neves, Myrian ; Marins, Jaqueline ; Correa, Arnildo .
    In: Revista Brasileira de Economia - RBE.
    RePEc:fgv:epgrbe:v:68:n:3:a:3.

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  14. Downturn Loss Given Default: Mixture distribution estimation. (2014). Calabrese, Raffaella.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:237:y:2014:i:1:p:271-277.

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  15. CREDIT DEFAULT AND BUSINESS CYCLES: ANEMPIRICAL INVESTIGATION OF BRAZILIAN RETAIL LOANS. (2014). Correa, Arnildo ; ANTONIO CARLOS MAGALHES DA SILVA, ; Myrian Beatriz Eiras das Neves, ; Jaqueline Terra Moura Marins, ; Arnildo da Silva Correa, .
    In: Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting].
    RePEc:anp:en2012:028.

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  16. Pro-Cyclical Capital Regulation and Lending. (2013). Wachtel, Paul ; Haselmann, Rainer ; Behn, Markus.
    In: Working Papers.
    RePEc:ste:nystbu:13-11.

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  17. Dynamic Provisioning: Some Lessons from Experience. (2012). Garca-Herrero, Alicia ; de Lis, Santiago Fernndez .
    In: Chapters.
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  18. Loss given default models incorporating macroeconomic variables for credit cards. (2012). Crook, Jonathan ; Bellotti, Tony.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:28:y:2012:i:1:p:171-182.

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  19. Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism?. (2012). BORIO, Claudio ; Zhu, Haibin .
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:8:y:2012:i:4:p:236-251.

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  20. The Procyclical Effects of Bank Capital Regulation. (2012). Suarez, Javier ; Repullo, Rafael.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8897.

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  21. The Countercyclical Capital Buffer of Basel III: A Critical Assessment. (2011). Saurina, Jesús ; Repullo, Rafael.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8304.

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  22. The Procyclical Effects of Bank Capital Regulation. (2010). Suarez, Javier ; Repullo, Rafael.
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:c763eb06-7096-4075-a652-25a46ffc0981.

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  23. The Procyclical Effects of Bank Capital Regulation. (2010). Suarez, Javier ; Repullo, Rafael.
    In: Other publications TiSEM.
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  24. The Procyclical Effects of Bank Capital Regulation. (2010). Suarez, Javier ; Repullo, Rafael.
    In: Discussion Paper.
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  25. Dynamic Provisioning : Some Lessons from Existing Experiences. (2010). Garcia Herrero, Alicia ; Garcia-Herrero, Alicia ; de Lis, Santiago Fernndez .
    In: Finance Working Papers.
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  26. Time varying and dynamic models for default risk in consumer loans. (2010). Crook, Jonathan ; Bellotti, Tony.
    In: Journal of the Royal Statistical Society Series A.
    RePEc:bla:jorssa:v:173:y:2010:i:2:p:283-305.

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  27. The Volatility Costs of Procyclical Lending Standards; An Assessment Using a Dsge Model. (2009). Gruss, Bertrand ; Sgherri, Silvia.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2009/035.

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  28. The Volatility Costs of Procyclical Lending Standards: An Assessment Using a DSGE Model. (2009). Sgherri, Silvia ; Gruss, Bertrand.
    In: Economics Working Papers.
    RePEc:eui:euiwps:eco2009/07.

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  29. Mitigating the Procyclicality of Basel II. (2009). Trucharte, Carlos ; Saurina, Jesús ; Repullo, Rafael.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7382.

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  30. Mitigating the Procyclicality of Basel II. (2009). Trucharte, Carlos ; Saurina, Jesús ; Repullo, Rafael.
    In: Working Papers.
    RePEc:cmf:wpaper:wp2009_0903.

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  31. Default Predictors and Credit Scoring Models for Retail Banking. (2009). Vojtek, Martin ; Kočenda, Evžen ; Kocenda, Even .
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2862.

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  32. The Procyclical Effects of Basel II. (2008). Suarez, Javier ; Repullo, Rafael.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6862.

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  33. THE PROCYCLICAL EFFECTS OF BASEL II. (2008). Suarez, Javier ; Repullo, Rafael.
    In: Working Papers.
    RePEc:cmf:wpaper:wp2008_0809.

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References cited by this document

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  37. Cyclicality in catastrophic and operational risk measurements. (2007). Allen, Linda ; Bali, Turan G..
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  38. Corporate credit risk modeling and the macroeconomy. (2007). Roszbach, Kasper ; Lindé, Jesper ; Jacobson, Tor ; Linde, Jesper ; Carling, Kenneth.
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  39. Regulatory discretion and banks pursuit of safety in similarity. (2007). Wilcox, James A ; Stever, Ryan .
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  40. Capital regulation and banks financial decisions. (2007). Zhu, Haibin .
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  41. An assessment of Basel II procyclicality in mortgage portfolios. (2007). Trucharte, Carlos ; Saurina, Jesús.
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  43. Is Firm Interdependence within Industries Important for Portfolio Credit Risk?. (2004). Roszbach, Kasper ; Carling, Kenneth ; Ronnegrd, Lars.
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  44. Stress-testing financial systems: an overview of current methodologies. (2004). Sorge, Marco .
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