MITIGATING THE PROCYCLICALITY OF BASEL II* Rafael Repullo CEMFI and CEPR

  • Jesús Saurina, B. Espana, Carlos Trucharte
  • Published 2009

Abstract

This paper compares alternative procedures to mitigate the procyclicality of the new risk-sensitive bank capital regulation (Basel II). We estimate a model of the probabilities of default (PDs) of Spanish firms during the period 1987-2008, and use the estimated PDs to compute the corresponding series of Basel II capital requirements per unit of loans. These… (More)

Topics

16 Figures and Tables