Article ID Journal Published Year Pages File Type
5089501 Journal of Banking & Finance 2012 17 Pages PDF
Abstract
► We explore how much capital banks should hold to withstand historical stress scenarios. ► Historical default and rating migration data from Moody's are employed for the analysis. ► We find that new Basel 3 bank capital requirements may not provide sufficient protection against a Great Depression scenario. ► 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
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