Risk-sensitive capital requirements and pro-cyclicality in lending [Elektronische Ressource] / Volker Sygusch
367 Pages
English

Risk-sensitive capital requirements and pro-cyclicality in lending [Elektronische Ressource] / Volker Sygusch

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Risk-Sensitive Capital Requirementsand Pro-Cyclicality in LendingInauguraldissertation zur Erlangung des akademischen Gradeseines Doktors der Wirtschaftswissenschaftender Universit at Mannheimvorgelegt an der Fakult at fur Betriebswirtschaftslehreder Universit at MannheimVolker SyguschMannheim, im Herbstsemester 2010iiDekan: Dr. Jurgen M. SchneiderReferent: Prof. em. Dr. Dr. h.c. Wolfgang BuhlerKorreferent: Prof. Dr. Peter AlbrechtTag der mundlic hen Prufung: 24. Januar 2011ContentsList of Figures viiiList of Tables xiiList of Abbreviations xiiiList of Frequently Used Symbols xviAcknowledgements xixI Introduction 11 The Issue of Pro-Cyclicality 31.1 They of Lending . . . . . . . . . . . . . . . . . . . . . 61.2 The Basel I Accord and Pro-Cyclicality . . . . . . . . . . . . . . . . . 81.2.1 The Introduction of Basel I and the 1990/91 Credit Crunch . 81.2.2 Theoretical Research on the Pro-Cyclicality of Basel I . . . . . 101.3 The Basel II Accord and Pro-Cyclicality . . . . . . . . . . . . . . . . 111.3.1 The Basel II Accord . . . . . . . . . . . . . . . . . . . . . . . 111.3.2 Pro-Cyclicality of Required Minimum Capital . . . . . . . . . 131.3.3y and Capital Bu ers . . . . . . . . . . . . . . . 161.3.4 Pro-Cyclicality and Loan-Rating Systems . . . . . . . . . . . . 201.3.5 Further Theoretical Research on the Pro-Cyclicality of Basel II 221.4 Further Regulations and Pro-Cyclicality . . . . . . . . . . . . . . . . 23iiiiv CONTENTS1.

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Published 01 January 2010
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Language English
Document size 7 MB