Capital requirements under the credit risk-based framework |
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Authors: | Paula Antão Ana Lacerda |
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Institution: | a Banco de Portugal, Portugal b Universidade Nova de Lisboa, Portugal c ISEG/Universidade Técnica de Lisboa, Portugal |
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Abstract: | This work aims to study the hypothesis of lower capitalization of banks under the risk-based rules introduced in Basel II. In this sense, an assessment of the impact of these rules on the capital requirements for non-financial firms’ credit risk is performed. A comparison with Basel I is presented and intervals of variation for the risk drivers such that capital requirements exceed the ones under Basel I are established. Data for a European country supports the hypothesis of a smaller capitalization of banks under the risk-based framework, as far as credit risk in concerned. |
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Keywords: | G21 G28 |
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