Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5089501 | Journal of Banking & Finance | 2012 | 17 Pages |
Abstract
⺠We explore how much capital banks should hold to withstand historical stress scenarios. ⺠Historical default and rating migration data from Moody's are employed for the analysis. ⺠We find that new Basel 3 bank capital requirements may not provide sufficient protection against a Great Depression scenario. ⺠We also find that the investment horizon and migration risk are critical to determine banks' capital needs.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Simone Varotto,