Capital requirements under the credit risk-based framework

Paula Antão, Ana Lacerda

Research output: Contribution to journalArticle

12 Citations (Scopus)

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 languageEnglish
Pages (from-to)1380-1390
Number of pages11
JournalJournal of Banking and Finance
Volume35
Issue number6
DOIs
Publication statusPublished - 1 Jan 2011

Keywords

  • Banking regulation
  • Banking system
  • Basel II
  • Basel III
  • Capital requirements
  • Credit risk

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