Basel II and financial stability: An investigation of sensitivity and cyclicality of capital requirements based on QIS 2

Arbeitspapier

This study aims to analyse the sensitivity of capital requirements to changes in risk parameters (PD, LGD and M) by creating a model bank with a portfolio mirroring the average asset composition of internationally active large banks, as well as locally oriented smaller institutions participating in the QIS 5 exercise. Using historical data on corporate default rates, the dynamics of risk weights and capital requirements over a whole business cycle are also examined, with special emphasis on financial stability implications. The purpose of this paper is to contribute to a better understanding of the mechanism of Basel II and to explore the possible impacts of prudential regulation on cyclical swings in capital requirements.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: MNB Occasional Papers ; No. 67

Classification and Topics

• Classification: Wirtschaft ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages ; Financial Institutions and Services: Government Policy and Regulation ; Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
• Subject: Basel II ; credit risk ; capital requirement ; regulation ; cyclicality ; financial stability ; Basler Akkord ; Basler Akkord ; Kreditrisiko ; Kapitalbedarf ; EU-Staaten

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Zsámboki, Balázs
• Event: Veröffentlichung
• (who): Magyar Nemzeti Bank
• (where): Budapest
• (when): 2007

Further information

• Handle: http://hdl.handle.net/10419/83522
• Last update: 10.03.2025, 11:42 AM CET