In order to survey the mechanisms through which the introduction of Basel II bank capital
requirements is likely to accentuate the procyclical tendencies of banking, this paper brings …

We examine the pricing difference of Green Bonds (GB) and conventional bonds (CBs) in
capital markets worldwide. Credit spread is used to observe whether investors would like to …

Few areas of monetary economics have been studied as extensively as the transmission
mechanism. The literature on this topic has evolved substantially over the years, following …

We use a quasi‐experimental research design to examine the effect of model‐based capital
regulation on the procyclicality of bank lending and firms' access to funds. In response to an …

Understanding if credit risk is driven mostly by idiosyncratic firm characteristics or by
systematic factors is an important issue for the assessment of financial stability. By exploring …

One of the central pillars of the new Basel-II regulatory framework is the concept of risk-
based capital requirements. 1 Under the so-called IRB (internal-ratings-based) approach …

Capital requirements play a key role in the supervision and regulation of banks. The Basel
Committee on Banking Supervision is in the process of changing the current framework by …

A new empirical reduced-form model for credit rating transitions is introduced. It is a
parametric intensity-based duration model with multiple states and driven by exogenous …

Under Basel II, retail and SME credit (R&SME) receive special treatment because of a
supposedly smaller exposure to systemic risk. Most research on this issue has been based …

This paper aims at improving our understanding of internal risk rating systems (IRS) at large
banks, of the way in which they are implemented, and at verifying if IRS produce consistent …