Procyclical implications of Basel II: Can the cyclicality of capital requirements be contained?

Author:

Andersen Henrik

Publisher

Elsevier BV

Subject

General Economics, Econometrics and Finance,Finance

Reference39 articles.

1. The link between default and recovery rates: implications for credit risk models and procyclicality;Altman;Journal of Business,2005

2. Allen, L., Saunders, A., 2003. A survey of cyclical effects in the credit risk measurement models. BIS Working Paper, No. 126.

3. Andersen, H., 2008. Failure prediction of Norwegian banks: a logit approach. Working Paper 2/2008, Norges Bank.

4. Andersen, H., Berge, T.O., 2008. Stress testing of banks’ profit and capital adequacy. Economic Bulletin 2/2008, Norges Bank, pp. 47–57.

5. Andersen, H., Berg, S.A., Jansen, E.S., 2008. The dynamics of operating income in the Norwegian banking sector. Working Paper 13/2008, Norges Bank.

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