The Basel Capital Accords and international mortgage markets: A survey of the literature

Financial Markets, Institutions and Instruments

Volumn 13, Issue 2, 2004, Pages 41-108

  Allen, Linda ^a  

^a CITY UNIVERSITY OF NEW YORK   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 2442554900     PISSN: 09638008     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.0963-8008.2004.00001.x     Document Type: Review

References (216)

1. Acharya, V.V. 2001. "A Theory of Systemic Risk and Design of Prudential Bank Regulation." Unpublished Dissertation Thesis, New York University.
2. Aggarwal, R. and K.T. Jacques. 2001. "The Impact of FDICIA and Prompt Corrective Action on Bank Capital and Risk: Estimates Using a Simultaneous Equations Model." Journal of Banking and Finance 25:139-1160.
3. Allen, L. 2002. "Discussion." Pp. 221-224 in Ratings, Rating Agencies, and the Global Financial System, eds. R. Levich, G. Majnoni, and C. Reinhart. Boston: Kluwer Academic Press.
4. Allen, L. 1997. Capital Markets and Institutions: A Global View. New York: John Wiley and Sons.
5. Allen, L., J. Boudoukh and A. Saunders. 2004. Understanding Market, Credit and Operational Risk: The Value at Risk Approach. London: Blackwell Publishing.
6. Allen, L., G. De Long and A. Saunders. 2003. "Issues in the Credit Risk Modeling of Retail Markets." Journal of Banking and Finance, forthcoming.
7. Allen, L., J. Jagtiani and Y. Landskroner. 1996. "Interest Rate Risk Subsidization in International Capital Standards." Journal of Economics and Business 48:251-267.
8. Allen, L. and J. Jagtiani. 1997. "Risk and Market Segmentation in Financial Intermediaries' Returns." Journal of Financial Services Research 12:2/3: 159-173.
9. Allen, L. and J. Jagtiani. 2000. "The Risk Effects of Combining Banking, Securities, and Insurance Activities." Journal of Economics and Business 52:485-497.
10. Allen, L. and A. Rai. 1996. "Bank Charter Values and Capital Levels: An International Comparison." Journal of Economics and Business 48:269-284.
11. Allen, L. and A. Saunders. 2004. "Incorporating Systemic Influences Into Risk Measurements. A Review of the Literature." Journal of Financial Services Research, Forthcoming.
12. Allen, L. and A. Saunders. 2002. "Cyclical Effects in Credit Risk Ratings and Default Risk." Pp. 45-79 in Credit Ratings: Methodologies, Rationale and Default Risk, Ed. Michael Ong. London: Risk Books.
13. Allen, L. and A. Saunders. 1992. "Bank Window Dressing: Theory and Evidence." Journal of Banking and Finance 16:585-623.
14. Allen, T. 2001. "Revisions to International Bank Solvency Standards: A UK Supervisory Perspective." Journal of Financial Regulation and Compliance 9:4:305-311.
15. Altman, E.I., with B. Brady. 2002. "Explaining Aggregate Recovery Rates on Corporate Bond Defaults." Unpublished paper, New York University.
16. Altman, E.I. and A. Saunders. 2001a. "An Analysis and Critique of the BIS Proposal on Capital Adequacy and Ratings." Journal of Banking and Finance 25-46.
17. Altman, E.I. and A. Saunders. 2001b. "Credit Ratings and the BIS Reform Agenda." Unpublished paper, New York University.
18. Apgar, W. and M. Duda. 2003. "The Twenty-Fifth Anniversary of the Community Reinvestment Act: Past Accomplishments and Future Regulatory Challenges." Federal Reserve Bank of New York Economic Policy Review June: 269-191.
19. Asarnow, E. and D. Edwards. 1995. "Measuring Loss on Defaulted Bank Loans: A 24-Year Study." The Journal of Commercial Lending March: 11-23.
20. Avery, R.B. and A.N. Berger. 1991. "Risk-Based Capital and Deposit Insurance Reform." Journal of Banking and Finance 15:847-874.
21. Ayuso, J., D. Perez and J. Saurina. 2002. "Are Capital Buffers Procyclical?" Unpublished paper, Banco de Espana.
22. Baer, H.L. and C.A. Pavel. 1988. "Does Regulation Drive Innovation?" Federal Reserve Bank of Chicago Economic Perspectives 12:2:3-15.
23. Bank for International Settlements. 1995. "Proposal to Issue a Supplement to the Basel Accord to Cover Market Risks."
24. Bank for International Settlements. 1996. Standardized Model for Market Risk. Basle, Switzerland: Bank for International Settlements,
25. Bank for International Settlements. 1999a. "Credit Risk Modeling: Current Practices and Applications." Basel Committee on Banking Supervision, Document No 49.
26. Bank for International Settlements. 1999b. "Sound Practices for Loan Accounting and Disclosure." Basel Committee on Banking Supervision, Document No 55.
27. Bank for International Settlements. 2000. "Range of Practice in Banks' Internal Ratings Systems." Basel Committee on Banking Supervision, Document No 66.
28. Bank for International Settlements. 2001. "The New Basel Capital Accord."
29. Bank for International Settlements. 2001. "Long-term Rating Scales Comparison."
30. Bank for International Settlements. 2001 "Working Paper on the Regulatory Treatment of Operational Risk."
31. Bank for International Settlements. 2001a. "Results of the Second Quantitative Study."
32. Bank for International Settlements. 2001b. "Potential Modifications to the Committee's Proposals."
33. Bank for International Settlements. 2003. "Third Basel Consultative Document."
34. Barnhill, T.M., Jr., and W. F. Maxwell. 2002. "Modeling Correlated Interest Rate, Spread Risk, and Credit Risk for Fixed Income Portfolios." Journal of Banking and Finance 26:2-3.
35. Beatty, A., Chamberlain, S.L. and J. Magliolo. 1995. "Managing Financial Reports of Commercial Banks: The Influence of Taxes, Regulatory Capital and Earnings." Journal of Accounting Research 33:231-262.
36. Benink, H. and C. Wihlborg "The New Basel Capital Accord: Making It Effective with Stronger Market Discipline." European Financial Management 8:1:103-115.
37. Berger, A.N. and G.F. Udell. 1994. "Did Risk-Based Capital Allocate Bank Credit and Cause a 'Credit Crunch' in the United States?" Journal of Money, Credit and Banking 26:585-628.
38. Berger, A.N., R.S. Demsetz and P.E. Strahan. 1999. "The Consolidation of the Financial Services Industry: Causes, Consequences, and Implications for the Future." Journal of Banking and Finance 23:135-194.
39. Berger, A.N., R. DeYoung, H. Genay and G.F. Udell. 2000. "Globalization of Financial Institutions: Evidence from Cross-Border Banking Performance." Brookings-Wharton Papers on Financial Services 23-158.
40. Berger, A.N., R.J. Herring and G.P. Szego. 1995. "The Role of Capital in Financial Institutions." Journal of Banking and Finance 19:393-430.
41. Bernanke, B.S. and C.S. Lown. 1991. "The Credit Crunch." Brookings Papers on Economic Activity 2:205-48.
42. Bikker, J.A. and H. Hu. 2002. "Cyclical Patterns in Profits, Provisioning and Lending of Banks and Procyclicality of the New Basel Capital Requirements." BNL Quarterly Review 221:143-175.
43. Blum, J. 1999. "Do Capital Adequacy Requirements Reduce Risks in Banking?" Journal of Banking and Finance 23:755-771.
44. Blum, J. and M. Hellwig. 1995. "The Macroeconomic Implications of Capital Adequacy for Banks." European Economic Review 39:739-749.
45. Bongini, P., L. Laeven, and G. Majnoni. 2002. "How Good is the Market at Assessing Bank Fragility: A Horse Race Between Different Indicators." Journal of Banking and Finance 26:1011-1028.
46. Borio, C., C. Furfine and P. Lowe. 2001. "Procyclicality of the Financial System and Financial Stability: Issues and Policy Options." Working paper, Bank for International Settlements, February.
47. Bos, J.W.B. and J.W. Kolari. 2003. "Large Bank Efficiency in Europe and the United States: Are There Economic Motivations for Geographic Expansion in Financial Services?" Unpublished paper,
48. Boyd, J.H. and M. Gertler. 1993. "US Commercial Banking: Trends, Cycles and Policy." Unpublished paper, NBER.
49. Boyd, J.H. and S.L. Graham. 1991. "Investigating the Banking Consolidation Trend." Federal Reserve Bank of Minneapolis Quarterly Review Spring: 3-15.
50. Boyd, J.H., S.L. Graham and R.S. Hewitt. 1993. "Bank Holding Company Mergers with Nonbank Financial Firms." Journal of Banking and Finance 17:43-63.
51. Brinkmann, E. and P.M. Horvitz. 1995. "Risk-Based Capital Standards and the Credit Crunch." Journal of Money, Credit and Banking 27:3:848-863.
52. Bugie, S., T. Azarchs, Y. Burger and S. Quinn. 2003. "Basel II: No Turning Back for the Banking Industry." Standard & Poor's Research Report August.
53. Calem, P.S. and M. LaCour-Little. 2004. "Risk-Based Capital Requirements for Mortgage Loans." Journal of Banking and Finance March, 647-672.
54. Calem, P.S. and R. Rob. 1996. "The Impact of Capital-Based Regulation on Bank Risk-Taking: A Dynamic Model." Board of Governors of the Federal Reserve System, Finance and Economics Discussion Series 96:12.
55. Campbell, T.S. and J.K. Dietrich. 1983. "The Determinants of Default on Insured Conventional Residential Mortgage Loans." Journal of Finance XXXVIII: 1569-1581.
56. Cantor, R. 2001. "Moody's Investors Service Response to the Consultative Paper Issued by the Basel Committee on Bank Supervision 'A New Capital Adequacy Approach'." Journal of Banking and Finance 171-186.
57. Caprio, G. and P. Honohan. 1999. "Restoring Bank Stability: Beyond Supervised Capital Requirements." Journal of Economic Perspectives 13:4:43-64.
58. Carey, M. 1998. "Credit Risk in Private Debt Portfolios." Journal of Finance 1363-1387.
59. Carey, M. 2000. "Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements." Unpublished paper, NBER.
60. Carey, M. 2001a. "Consistency of Internal versus External Credit Ratings and Insurance and Bank Regulatory Capital Requirements." Unpublished paper, Federal Reserve Board.
61. Carey, M. 2001b. "A Policymaker's Guide to Choosing Absolute Bank Capital Requirements." Unpublished paper, Board of Governors of the Federal Reserve System.
62. Carlstrom, C.T. and K.A. Samolyk. 1995. "Loan Sales as a Response to Market-Based Capital Constraints." Journal of Banking and Finance 19:627-646.
63. Carosio, G. 2001. "The New Basel Capital Adequacy Framework." Economic Notes by Bancq Monte dei Paschi di Siena SpA, 30:3:327-335.
64. Carpenter, S.B., W. Whitesell and E. Zakrajsek. 2001. "Capital Requirements, Business Loans and Business Cycles: An Empirical Analysis of the Standardized Approach in the New Basel Capital Accord." Unpublished paper, Board of Governors of the Federal Reserve System.
65. Carr, J., F. Mathewson and N. Quigley. 1995. "Stability in the Absence of Deposit Insurance: The Canadian Banking System 1890-1966." Journal of Money, Credit and Banking 27:4:1137-1158.
66. Carty, L.V. 1998. "Bankrupt Bank Loan Recoveries." Moody's Investors Service Rating Methodology.
67. Catarineu-Rabell, E., P. Jackson and D.P. Tsomocos. 2003. "Procyclicality an the New Basel Accord - Banks' Choice of Loan Rating Systems." Unpublished paper, Bank of England.
68. Cavallo, M., and G. Majnoni. 2001. "Do Banks Provision for Bad Loans in Good Times? Empirical Evidence and Policy Implications." Unpublished paper, World Bank.
69. Chami, R. and T.F. Cosimano. 2001. "Monetary Policy with a Touch of Basel." Unpublished paper, International Monetary Fund.
70. Chiuri, M.C., G. Ferri and G. Majnoni. 2002. "The Macroeconomic Impact of Bank Capital Requirements in Emerging Economies: Past Evidence to Assess the Future." Journal of Banking and Finance 26:881-904.
71. Chiuri, M., F. Giovanni and G. Majnoni. 2002. "The Macroeconomic Impact of Bank Capital Requirements in Emerging Economies: Past Evidence to Assess the Future." Journal of Banking and Finance 6:881-904.
72. Chiuri, M., F. Giovanni and G. Majnoni. 2001. "Enforcing the 1988 Basel Capital Requirements: Did it Curtail Bank Credit in Emerging Economies?" Ecnomic Notes by Banca Monte dei Paschi di Siena SpA 30:3:399-419.
73. Clauretie, T.M. and T. Herzog. 1990. "The Effect of State Foreclosure Laws on Loan Losses: Evidence from the Mortgage Insurance Industry." Journal of Money, Credit and Banking 22:221-233.
74. Cooper, K., J. Kolari and J. Wagster. 1991. "A Note on the Stock Market Effects of the Adoption of Risk-Based Capital Requirements on International Banks in Different Countries." Journal of Banking and Finance 15:367-381.
75. Cotterman, R.F. and J.E. Pearce. 1996. "The Effects of the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation on Conventional Fixed-Rate Mortgage Yields." Studies on Privatizing Fannie Mae and Freddie Mac, US Department of Housing and Urban Development, Office of Policy Development and Research 97-168.
76. Craig, B.R. and J.B. Thomson. 2003. "Federal Home Loan Bank Lending to Community Banks: Are Targeted Subsidies Desirable?" Journal of Financial Services Research 23:1:5-28.
77. Crouhy, M., D. Galai and R. Mark. 2001. Risk Managemet. New York: McGraw-Hill.
78. Dahiya, S., M. Puri and A. Saunders. 2001. "Bank Borrowers and Loan Sales: New Evidence of the Uniqueness of Bank Loans." Unpublished paper, New York University Stern School of Business.
79. Dahl, D., D.D. Evanoff and M.F. Spivey. 2003. "The Timing and Persistence of CRA Compliance Ratings." Journal of Financial Services Research 23:2:113-132.
80. Das, S.R., L. Freed, G. Geng and N. Kapadia. 2001. "Correlated Default Risk." Unpublished paper, Santa Clara University.
81. Deng, Y., J.M. Quigley and R. Van Order. 2000. "Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options." Econometrica 68: 275-307.
82. Diamond, D. 1984. "Financial Intermediation and Delegated Monitoring." Review of Economic Studies 51:393-414.
83. Dietsch, M. and J. Petey. 2002. "The Credit Risk in SME Loans Portfolios: Modeling Issues, Pricing, and Capital Requirements." Journal of Banking and Finance 26:303-322.
84. Dionne, G. and T.M. Harchaoui. 2003. "Banks' Capital, Securitization and Credit Risk: An Empirical Evidence for Canada." Unpublished paper,
85. Donahoo, K.K. and S. Shaffer. 1991. "Capital Requirements and the Securitization Decision." Quarterly Review of Economics and Business 31:4:12-23.
86. Duebel, H.J. 2002. "Mortgage Credit Risk, Regulatory Standards and the Basel II Banking Supervision Reforms." Housing Finance International 17:3-11.
87. Ediz, T., I. Michael and W. Perraudin. 1998. "The Impact of Capital Requirements on UK Bank Behavior." Federal Reserve Bank of New York Economic Policy Review 15-22.
88. Estrella, A. 2001. "The Cyclical Behavior of Optimal Bank Capital." Unpublished paper, Federal Reserve Bank of New York.
89. Evans, J., J. Simpson and A.A. Mahate. 1999. "The Operating and Balance Sheet Performance of Japanese International Banks in Relation to Safety Levels: A Comparison with Western European Banks." Unpublished paper, University of Wollongong.
90. Eyssell, T. and N. Arshadi. 1990. "The Wealth Effects of the Risk-Based Capital Requirements in Banking: The Evidence from the Capital Market." Journal of Banking and Finance 14:179-197.
91. Falkenheim, M. and A. Powell. 2001. "The Use of Credit Bureau Information in the Estimation of Appropriate Capital and Provisioning Requirements." Unpublished paper, Central Bank of Argentina.
92. Ferri, G., L.G. Liu and G. Majnoni. 2001. "The Role of Rating Agency Assessments in Less Developed Countries: Impact of the Proposed Basel Guidelines." Journal of Banking and Finance 115-148.
93. Flannery, M. 1989. "Capital Regulation and Insured Banks' Choice of Individual Loan Default Risks." Journal of Monetary Economics 24:235-258.
94. Flood, M. 2001. "Basel Buckets and Loan Losses: Absolute and Relative Loan Underperformance at Banks and Thrifts." Unpublished paper, Office of Thrift Supervision.
95. Ford, G. and R. Weston. 2003. "Risk-Adjusted Performance of European Banks Under the Basel Accord." Unpublished paper,
96. Freixas, X., B. Parigi and J.C. Rochet. 2000. "Systemic Risk, Interbank Relations, and Liquidity Provision by the Central Bank." Journal of Money, Credit and Banking 32:3:11.
97. Frerichs, H. and M. Wahrenburg. 2003. "Evaluating Internal Credit Rating Systems Depending on Bank Size." Unpublished paper, University of Frankfurt.
98. Furfine, C. 2001. "Bank Portfolio Allocation: The Impact of Capital Requirements, Regulatory Monitoring, and Economic Conditions." Journal of Financial Services Research 20:1:33-56.
99. Furfine, C. 2002. "The Interbank Market During a Crisis." European Economic Review 46:809-820.
100. Furlong, F.T. and M.C. Keeley. 1989. "Capital Regulation and Bank Risk-Taking: A Note." Journal of Banking and Finance 13:883-891.
101. Gennotte, G. and D. Pyle. 1991. "Capital Controls and Bank Risk." Journal of Banking and Finance 15:805-824.
102. Gonzalez-Rivera, G. 2001. "Linkages Between the Secondary and Primary Markets for Mortgages: The Role of Retained Portfolio Investments of the Government-sponsored Enterprised." Journal of Fixed Income.
103. Gordy, M.B. 2003. "A Risk-Factor Foundation for Ratings-Based Bank Capital Rules." Journal of Financial Intermediation 199-232.
104. Gordy, M.B. 2000. "A Comparative Anatomy of Credit Risk Models." Journal of Banking and Finance 119-149.
105. Greenspan, A. 1998. "Wanted: Bank Regulators Who Act More Like the Market." Secondary Mortgage Markets 15:1/2:6-10.
106. Griep, C. and M. De Stefano. 2001. "Standard & Poor's Official Response to the Basel Committee's Proposal." Journal of Banking and Finance 149-170.
107. Gueyie, J.P. and V.S. Lai. 2003. "Bank Moral Hazard and the Introduction of Official Deposit Insurance in Canada." International Review of Economics and Finance 12:247-273.
108. Gupton, G.M. 2000. "Bank Loan Loss Given Default." Moody's Investors Service, Special Comment.
109. Gupton, G.M., D. Gates and L.V. Carty. 2000. "Bank-Loan Loss Given Default." Moody's Investors Service, Global Credit Research.
110. Hagen, L. and R. Holter. 2002. "Implications of Basel II for the Risk Management of German Mortgage Banks." Housing Finance International 17:1:33-42.
111. Hall, B.J. 1993. "How Has the Basel Accord Affected Bank Portfolios?" Journal of the Japanese and International Economies 7:408-440.
112. Hammes, W. and M. Shapiro. 2001. "The Implications of the New Capital Adequacy Rules for Portfolio Management of Credit Assets." Journal of Banking and Finance 97-114.
113. Hancock, D., A.J. Laing and J.A. Wilcox. 1995. "Bank Capital Shocks: Dynamic Effects on Securities, Loans and Capital." Journal of Banking and Finance 19:661-677.
114. Hancock, D. and J.A. Wilcox. 1993. "Was There a 'Capital Crunch' in Banking? The Effects on Real Estate Lending of Business Conditions and Capital Shortfalls." Journal of Housing Economics 13:1:75-105.
115. Hancock, D. and J. Wilcox. 1994. "Bank Capital, Loan Delinquencies, and Real Estate Lending." Journal of Housing Economics 3:121-146.
116. Hancock, D. and J. Wilcox. 1994b. "Bank Capital and Portfolio Composition." Unpublished paper, Board of Governors of the Federal Reserve System.
117. Hancock, D. and J. Wilcox. 1994c. "Bank Capital and the Credit Crunch: The Roles of Risk-Weighted and Unweighted Capital Regulations." Journal of American Real Estate and Urban Economics Association 22:2:59-94.
118. Hancock, D. and J.A. Wilcox. 1995. "Bank Balance Sheet Shocks: Are There Dynamic Effects on Bank Capital and Lending?" Journal of Banking and Finance 19:661-77.
119. Hancock, D. and J.A. Wilcox. 1997. "Bank Capital, Non-Bank Finance and Real Estate Activity." Journal of Housing Research 8:75-105.
120. Handorf, W.C. 2001. "Commercial Real Estate Lending and the New Basel Capital Accord." Commercial Real Estate Lending 41-49.
121. Haubrich, J. and P. Wachtel. 1993. "Capital Requirements and Shifts in Commercial Bank Portfolios." Federal Reserve Bank of Cleveland Economic Review 29:8-15.
122. Hawke, J.D., Jr. 2002. "Independent Bank Regulation is Essential for Sustained Economic Growth." Business Economic 6-10.
123. Hendricks, D. and B. Hirtle. 1997. "Bank Capital Requirements for Market Risk: The Internal Models Approach." Federal Reserve Bank of New York Economic Policy Review 1-12.
124. Herring, R.J. 1999. "Credit Risk and Financial Instability." Oxford Review of Economic Policy 15:3:63-79.
125. Hoggarth, G., R. Reis and V. Saporta. 2001. "Costs of Banking System Instability: Some Empirical Evidence." Unpublished paper,
126. Honda, Y. 2002. "The Effects of the Basel Accord on Bank Credit: The Case of Japan." Applied Economics 34:10:1233-1240.
127. Hovakimian, A. and E.J. Kane. 2000. "Effectiveness of Capital Regulation at US Commercial Banks, 1985 to 1994." Journal of Finance LV:1:451-468.
128. International Swaps and Derivatives Association (ISDA). 1998. Credit Risk and Regulatory Capital. New York/London.
129. Ito, T. and Y.N. Sasaki. 2002. "Impacts of the Basel Capital Standard on Japanese Banks' Behavior." Journal of the Japanese and Interenational Economies 16:372-397.
130. Jackson, P., with C. Furfine, H. Groenveld, D. Hancock, D. Jones, W. Perraudin, L. Radecki and M. Yoneyama. 1999. "Capital Requiremetns and Bank Behavior: The Impact of the Basel Accord." Basel Committee on Banking Supervision Working Papers 1.
131. Jackson, P., W. Perraudin and V. Saporta. 2001. "Setting Minimum Capital for Internationally Active Banks." Unpublished paper,
132. Jacques, K. and P. Nigro. 1997. "Risk-Based Capital, Portfolio Risk and Bank Capital: A Simultaneous Equations Approach." Journal of Economics and Business 49:533-547.
133. Jacques, K. 2003. "The Macroeconomic Implications of a Revised Basel Accord: A Comparison with the 1988 Risk-Based Capital Standards." Unpublished paper, Office of Financial Institutions Policy.
134. Jagtiani, J., A. Saunders and G. Udell. 1995. "The Effect of Bank Capital Requirements on Bank Off-Balance Sheet Financial Innovations." Journal of Banking and Finance 647-658.
135. Jobst, A. 2003. "Risk Sharing in Securitization: The Function of the First Loss Provision as a Signaling Device." Unpublished paper, London School of Economics.
136. Johnson, R. 1991. "The Bank Credit 'Crumble'." Federal Reserve Bank of New York Quarterly Review 40-51.
137. Jones, D. 2000. "Emerging Problems with the Basel Capital Accord: Regulatory Capital Arbitrage and Related Issues." Journal of Banking and Finance 24:35-58.
138. Jones, S., G.W. Bauer and A. Kriegler. 2002. "Bank Liquidity: Canadian Bank Case Study." Moody's Research Report.
139. Jordan, J., J. Peek and E. Rosengren. 2002. "Credit Risk Modeling and the Cyclicality of Capital." Unpublished paper,
140. Kang, J.K. and R.M. Stulz. 2000. "Do Banking Shocks Affect Borrowing Firm Performance? An Analysis of the Japanese Experience." Journal of Business 73:1: -23.
141. Karaoglu, N.E. 2003. "Regulatory Capital and Earnings Management in Banks: The Case of Loan Sales and Securitizations." Unpublished paper, University of Toronto.
142. Kealhofer, S. 2003. "Quantifying Credit Risk I: Default Prediction." Financial Analysts Journal January/February 30-44.
143. Keeley, M.C. 1980. "Deposit Insurance, Risk and Market Power in Banking." American Economic Review 80:5:183-200.
144. Keeley, M.C. and F.T. Furlong. 1990. "A Reexamination of Mean-Variance Analysis of Bank Capital Regulation." Journal of Banking and Finance 14:69-84.
145. Keeton, W.R. 1989. "The New Risk-Based Capital Plan for Commercial Banks." Federal Reserve Bank of Kansas City Economic Review 74:10:40-60.
146. Kim, M.S. and W. Kross. 1998. "The Impact of the 1989 Change in Bank Capital Standards on Loan Loss Provisions and Loan Write-offs." Journal of Accounting and Economics 25:69-99.
147. Kim, S.B. and R. Moreno. 1994. "Stock Prices and Bank Lending Behavior in Japan." Federal Reserve Bank of San Francisco Economic Review 31-42.
148. Klopfer, E. 2002. "A Mortgage Insurer's Look at Basel II and Residential Mortgage Credit Risk." Housing Finance International 17:1:22-32.
149. Krainer, R.E. 2003. "Banking, Business Cycles and the Basel Accord: Some Empirical Evidence." Unpublished paper, University of Wisconsin-Madison.
150. Krainer, R.E. 2002. "Banking in a Theory of the Business Cycle: A Model and Critique of the Basel Accord on Risk-Based Capital Requirements for Banks." International Review of Law and Economics 21:413-433.
151. Kryzanowski, L. and G.S. Roberts. 1993. "Canadian Bank Solvency, 1922-1940." Journal of Money, Credit and Banking 25:3:361-376.
152. Kryzanowski, L. and G.S. Roberts. 1999. "Perspectives on Canadian Bank Insolvency During the 1930s: A Note." Journal of Money, Credit and Banking 31:1:130-136.
153. Kupiec, P.H. 2001. "The New Basel Capital Accord: The Devil is in the (Calibration) Details." Unpublished paper, International Monetary Fund.
154. Laderman, E.S. 1994. "Wealth Effects of Bank Holding Company Securities Issuance and Loan Growth under the Risk-Based Capital Requirements." Federal Reserve Bank of San Francisco Economic Review 2:30-41.
155. Lam, C.H. and A.H. Chen. 1985. "Joint Effects of Interest Rate Deregulation and Capital Requirements on Optimal Bank Portfolio Adjustments." Journal of Finance XL:2:563-575.
156. Lavin, A., M.C. Griswold and G.V. Karels. 1996. "The Impact of Risk-Based Captial Standards and Regulatory Examinations on the Portfolio Composition of Commercial Banks." Unpublished paper,
157. Linnell, I. 2001. "A Critical Review of the New Capital Adequacy Framework Paper Issued by the Basel Committee on Banking Supervision and its Implications for the Rating Agency Industry." Journal of Banking and Finance 187-196.
158. Lopez, J.A. 2004. "The Empirical Relationship Between Average Asset Correlation, Firm Probability of Default and Asset Size." Journal of Financial Intermediation, Forthcoming.
159. Lown, C.S. and S. Peristiani. 1996. "The Behavior of Consumer Loan Rates During the 1990 Credit Slowdown." Journal of Banking and Finance 20:1673-94.
160. Madura, J. and E.R. Zarruk. 1993, "Market Reaction to Uniform Capital Adequacy Guidelines in the Banking Industry." Journal of Economics and Finance 59-72.
161. Manning, D. 2002. "Mortgage Lenders and the New Basel Capital Accord." Housing Finance International 17:1:13-21.
162. McCauley, R.N. and R. Seth. 1992. "Foreign Bank Credit to US Corporations: The Implications of Offshore Loans." Federal Reserve Bank of New York Quarterly Review 52-65.
163. McDonough, W.J. 2002. "Commentary: Promoting Financial Stability." International Finance 5:1:115-127.
164. Merton, R.C. 1995. "Financial Innovation and the Management and Regulation of Financial Institutions." Journal of Banking and Finance 19, 461-481.
165. Mingo, J.J., "Policy Implications of the Federal Reserve Study of Credit Risk Models at Major US Banking Institutions." Journal of Banking and Finance January 2000, pp. 15-33.
166. Monfort, B. and C. Mulder. 2000. "Using Credit Ratings for Capital Requirements on Lending to Emerging Market Economies." Unpublished paper, International Monetary Fund.
167. Morgan, G.E. and S.D. Smith. 1987. "The Role of Capital Adequacy Regulation in the Hedging Decisions of Financial Intermediaries." Journal of Financial Research X:33-46.
168. Moyer, S.E. 1990. "Capital Adequacy Ratio Regulations and Accounting Choices in Commercial Banks." Journal of Accounting and Economics 13:123-154.
169. Mpuga, P. 2002. "The 1998-99 Banking Crisis in Uganda: What was the Role of the New Capital Requirements?" Journal of Financial Regulation and Compliance 10:3:224-242.
170. Odenbach, M. 2002. "Mortgage Securitization: What Are the Drivers and Constraints from an Originator's Perspective (Basel I/Basel II)?" Housing Finance International 52-62.
171. Pavel, C. 1986. "Securitization." Federal Reserve Bank of Chicago Economic Perspectives 10:16-31.
172. Pavel, C. and D. Phillis. 1987. "Why Commercial Banks Sell Loans: Am Empirical Analysis." Federal Reserve Bank of Chicago Economic Perspectives 11:3-14.
173. Peek, J. and E.S. Rosengren. 1992. "The Capital Crunch in New England." Federal Reserve Bank of New England Economic Review May/June:21-31.
174. Peek, J. and E.S. Rosengren. 1995a. "The Capital Crunch: Neither a Borrower Nor a Lender Be", Journal of Money, Credit and Banking 27:3:625-38.
175. Peek, J. and E.S. Rosengren. 1995b. "Bank Regulation and the Credit Crunch." Journal of Banking and Finance 19:679-692.
176. Peek, J. and E.S. Rosengren. 1997. "The International Transmission of Financial Shocks: The Case of Japan." American Economic Review 87:495-505.
177. Peek, J. and E.S. Rosengren. 1999. "Japanese Banking Problems: Implications for Lending in the United States." New England Economic Review 25-36.
178. Powell, A. 2001. "A Capital Accord for Emerging Economies?" Unpublished paper, World Bank.
179. Purhonen, M. 2002. "New Evidence of IRB Volatility." Risk S21-S25.
180. Quigley, J.M. and R. Van Order. 1991. "Defaults on Mortgage Obligations and Capital Requirements for US Savings Institutions: A Policy Perspective." Journal of Public Economics 44:353-369.
181. Rajan, R.G. 2000. "Comment." Brookings Wharton Papers on Financial Services 2000 126-130.
182. Rajan, R.G. 1994. "Why Bank Credit Policies Fluctuate: A Theory and Some Evidence." Quarterly Journal of Economics 109:2:399-441.
183. Reinhart, C. 2001. "Sovereign Credit Ratings Before and After Financial Crises." Unpublished paper, University of Maryland.
184. Reisen, H. and J. von Maltzan. 1999. "Boom and Bust and Sovereign Ratings." International Finance 2:2:273-293.
185. Reisen, H. 2000. "Revisions to the Basel Accord and Sovereign Ratings." Pp. in Global Finance From a Latin American Viewpoint, eds. R. Hausmann and U. Hiemenz. IDB/OECD Development Centre.
186. Rime, B. 2000. "Capital Requirements and Bank Behavior: Empirical Evidence for Switzerland." Journal of Banking and Finance 25:89-805.
187. RMA. 2000. Credit risk capital for retail credit products: a survey of sound practices.
188. Rochet, J.C. 1992. "Capital Requirements and the Behavior of Commercial Banks." European Economic Review 36:1137-1178.
189. Roll, R. 2003. "Benefits to Homeowners from Mortgage Portfolios Retained by Fannie Mae and Freddie Mac." Journal of Financial Services Research 23:1:29-42.
190. Rule, D. "The Credit Derivatives Market: Its Development and Possible Implications for Financial Stability." Financial Stability Review June 2001, pp. 117-140.
191. Saunders, A. 2002. "Comments on 'The Macroeconomic Impact of Bank Capital Requirements in Emerging Economies: Past Evidence to Assess the Future." Journal of Banking and Finance 26:905-907.
192. Saunders, A. and L. Allen. 2002. Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, second edition, New York: John Wiley & Sons.
193. Saunders, A. and H. Thomas. 2001. Financial Institutions Management: Second Canadian Edition, Toronto: McGraw-Hill Ryerson,
194. Saunders, A. and B. Wilson. 1995. "If History Could Be Rerun: The Provision and Pricing of Deposit Insurance in 1933." Journal of Financial Intermediation 4:396-413.
195. Saurina, J. and C. Trucharte. 2004. "The Impact of Basel II on Lending to Small- and Medium-Sized Firms: A Regulatory Policy Assessment Based on the Spanish Credit Register." Journal of Financial Services Research, Forthcoming.
196. Sharpe, S.A. 1995. "Bank Capitalization, Regulation and the Credit Crunch: A Critical Review of the Research Findings." Unpublished paper, Federal Reserve Board.
197. Shih, J., A. Samad-Khan and P. Medapa. 2000. "Is the Size of an Operational Loss Related to Firm Size?" Operational Risk, January.
198. Shrieves, R.E. and D. Dahl. 1992. "The Relationship Between Risk and Capital in Commercial Banks." Journal of Banking and Finance 16:439-457.
199. Simons, K. 1993. "Why Do Banks Syndicate Loans?" New England Economic Review, Federal Reserve Bank of Boston 45-52.
200. Stiroh, K.J. and C. Metli. 2003. "Now and Then: The Evolution of Loan Quality for US Banks." Federal Reserve Bank of New York Current Issues in Economics and Finance 9:4:1-7.
201. Stolz, S. 2002. "The Relationship Between Bank Capital, Risk-Taking and Capital Regulation: A Review of the Literature." Unpublished paper, Kiel Institute for World Economics.
202. Sundarajan, V., D. Marston and R. Basu. 2001. "Financial System Standards and Financial Stability: The Case of the Basel Core Principles." Unpublished paper, International Monetary Fund.
203. Szego, G. 1995. "Risk-Based Capital in the European Economic Community." Journal of Banking and Finance 19:727-729.
204. Thakor, A.V. 1996. "Capital Requirements, Monetary Policy and Aggregate Bank Lending: Theory and Empirical Evidence." Journal of Finance 51279-324.
205. Thakor, A.V. and P.F. Wilson. 1995. "Capital Requirements, Loan Renegotiation and the Borrower's Choice of Financing Source." Journal of Banking and Finance 19:693-711.
206. Van Order, R. 2000. "The Structure of the Mortgage Market in the United States: A Model of Dueling Charters." Unpublished paper, Freddie Mac.
207. Wagster, J.D. 1996. "Impact of the 1988 Basel Accord on International Banks." Journal of Finance LI:4:1321-1346.
208. Wall, L.D. 1989. "Capital Requirements for Banks: A Look at the 1981 and 1988 Standards." Federal Reserve Bank of Atlanta Economic Review March/April: 14-29.
209. Wall, L.D. and T.W. Koch. 2000. "Bank Loan-Loss Accounting: A Review of the Theoretical and Empirical Evidence." Federal Reserve Bank of Atlanta Economic Review Second Quarter 1-19.
210. Wall, L.D. and D.R. Peterson. 1987. "The Effect of Capital Adequacy Guidelines on Large Bank Holding Companies." Journal of Banking and Finance 11:581-600.
211. Wall, L.D. and D.R. Peterson. 1995. "Bank Holding Company Capital Targets in the Early 1990s: The Regulators versus the Markets." Journal of Banking and Finance 19:563-574.
212. Wall, L. and M.M. Shrikhande. 1998. "Credit Derivatives." Unpublished paper,
213. White, L. 2002. "The Credit Rating Industry: An Industrial Organization Analysis." Pp. 41-63 in Ratings, Rating Agencies, and the Global Financial System, eds. R. Levich, G/Majnoni and C. Reinhart. Boston: Kluwer Academic Publishing.
214. White, L. 2003. "Focusing on Fannie and Freddie: The Dilemmas of Reforming Housing Finance." Journal of Financial Services Research 23:1:43-58.
215. White, N.W. and A. Rai. 1999. "Market Risk for Foreign Currency Options: Basel's Simplified Model." Financial Management 28:1:99-109.
216. Zhou, C. 2001. "An Analysis of Default Correlations and Multiple Defaults." The Review of Financial Studies 555-576.