Capital requirements under the credit risk-based framework

Paula Antão and Ana Lacerda

Journal of Banking & Finance, 2011, vol. 35, issue 6, 1380-1390

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.

Keywords: Basel; II; Basel; III; Capital; requirements; Credit; risk; Banking; regulation; Banking; system (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:35:y:2011:i:6:p:1380-1390

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