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Downturn Credit Portfolio Risk, Regulatory Capital and Prudential Incentives

Rösch, Daniel and Scheule, Harald (2010) Downturn Credit Portfolio Risk, Regulatory Capital and Prudential Incentives. International Review of Finance 10 (2), pp. 185-207.

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Abstract

This paper analyzes the level and cyclicality of bank capital requirement in relation to (i) the model methodologies through-the-cycle and point-in-time, (ii) four distinct downturn loss rate given default concepts, and (iii) US corporate and mortgage loans. The major finding is that less accurate models may lead to a lower bank capital requirement for real estate loans. In other words, the ...

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Item type:Article
Date:2010
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch)
Identification Number:
ValueType
10.1111/j.1468-2443.2009.01102.xDOI
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:No
Item ID:28312
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