Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83522
Authors: 
Zsámboki, Balázs
Year of Publication: 
2007
Series/Report no.: 
MNB Occasional Papers 67
Abstract: 
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.
Subjects: 
Basel II
credit risk
capital requirement
regulation
cyclicality
financial stability
JEL: 
G21
G28
G32
Document Type: 
Working Paper

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