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 country supports the hypothesis of a smaller capitalization of banks under the risk-based framework, as far as credit risk in concerned.
Original language | English |
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Pages (from-to) | 1380-1390 |
Number of pages | 11 |
Journal | Journal of Banking and Finance |
Volume | 35 |
Issue number | 6 |
DOIs | |
Publication status | Published - 1 Jan 2011 |
Keywords
- Banking regulation
- Banking system
- Basel II
- Basel III
- Capital requirements
- Credit risk