کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5091672 | 1375701 | 2005 | 20 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Capital requirements and business cycle regimes: Forward-looking modelling of default probabilities
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Capital requirements and business cycle regimes: Forward-looking modelling of default probabilities Capital requirements and business cycle regimes: Forward-looking modelling of default probabilities](/preview/png/5091672.png)
چکیده انگلیسی
This paper proposes a forward-looking model for time-varying capital requirements, which finds application within Basel II. The model rests on the relationship between default rates and the business cycle: by positing two regimes, expansion and recession, and by forecasting the associated probabilities, the default probability for each rating class is defined as the expected value of a default rate whose distribution is a mixture of an expansion and a recession distribution. The application to US data over the forecasting period 1971-2002 provides evidence that the model makes it possible to preserve the risk sensitivity of the capital requirement and at the same time to dampen procyclicality.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 29, Issue 12, December 2005, Pages 3121-3140
Journal: Journal of Banking & Finance - Volume 29, Issue 12, December 2005, Pages 3121-3140
نویسندگان
Chiara Pederzoli, Costanza Torricelli,