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The Impact of Loan Loss Provisioning on Bank Capital Requirements

Krüger, Steffen , Rösch, Daniel and Scheule, Harald (2018) The Impact of Loan Loss Provisioning on Bank Capital Requirements. Journal of Financial Stability 36, pp. 114-129.

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Abstract

This paper shows that the revised loan loss provisioning based on the International Financial Reporting Standards (IFRS) and the US Generally Accepted Accounting Principles (GAAP) implies a reduction of Tier 1 capital. The paper finds in a counterfactual analysis that these changes are more severe (i) during economic downturns, (ii) for credit portfolios of low quality, (iii) for banks that do ...

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Item type:Article
Date:2018
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch)
Interdisciplinary Subject Network:Immobilien- und Kapitalmärkte
Research groups and research centres:Center of Finance
Identification Number:
ValueType
10.1016/j.jfs.2018.02.009DOI
Classification:
NotationType
C51 G28 M48Journal of Economics Literature Classification
Keywords:GAAP 326, IFRS 9, Lifetime expected loss, Loan loss provisioning, Regulatory capital, SICR
Dewey Decimal Classification:300 Social sciences > 310 General statistics
300 Social sciences > 330 Economics
600 Technology > 650 Management & auxiliary services
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:37263
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