Dear Guest! If you find an error on the page or you have any technical question please call the customer service center. Phone number is 06-80-203-776. The Central Bank of Hungary.
HU

OP 67. Balázs Zsámboki: Basel II and financial stability: An investigation of sensitivity and cyclicality of capital requirements based on QIS 5

Print

This study aims to analyse the sensitivity of capital requirements to changes in risk parameters (PD, LGD and M) by creating a ‘model bank’ with a portfolio mirroring the average asset composition of internationally active large banks, as well as locally oriented smaller institutions participating in the QIS 5 exercise. Using historical data on corporate default rates, the dynamics of risk weights and capital requirements over a whole business cycle are also examined, with special emphasis on financial stability implications. The purpose of this paper is to contribute to a better understanding of the mechanism of Basel II and to explore the possible impacts of prudential regulation on cyclical swings in capital requirements.
JEL: G21, G28, G32.
Keywords: Basel II, credit risk, capital requirement, regulation, cyclicality, financial stability.

This website uses cookies to provide a more convenient browsing experience. By using this website, you accept the use of cookies. Please read our Cookie Guidelines, for more information on cookies, including information on how to disable or delete them.I accept

Please be informed that our Data Protection Guidelines were changed to be compliant with data protection laws.I understand