Modeling Basel Regulatory in DSGE with Emphasis on Adequacy Regulatory
Authors
Abstract:
In this paper Basel regulation is modeled in Dynamic Stochastic General Equilibrium (DSGE) framework. For this purpose, using data from 1981-2017 for Iran, capital adequacy as an importance regulation is modeled. Results show Basel regulation has procyclical effect. According to the results of the model and according to the realities of economy and banking system of Iran, in recession, lending and credit risk increase and repayment probability decrease. Despite these conditions, capital adequacy does not increase. This confirms that risks are less relevant in determining capital. If elasticity of repayment probability with respect to capital loan ratio is zero, Basel II is more procyclical than Basel I. If elasticity of repayment probability with respect to capital loan ratio is 0.5, Basel II is less procyclical than Basel I.
similar resources
on some bayesian statistical models in actuarial science with emphasis on claim count
چکیده ندارد.
15 صفحه اولThe Basel Capital Adequacy and Regulatory Framework: Balancing Risk Sensitivity, Simplicity and Comparability
As well as highlighting the importance of cost benefit analyses in decisionmaking processes where (expected) outcomes are very difficult to predict – given the degree of prevailing and potential risks and uncertainties, as well as the unquantifiable nature of such risks and uncertainties, this paper also illustrates the importance of complementary measures in the current Basel risk based capita...
full textCHAPTER 1 Supervision of Islamic Banks : The Regulatory Challenge — Basel II and Basel III
full text
Key Regulatory Gene Expression in Erythroleukemia Differentiation
The characteristics of cellular and molecular mechanisms associated with cell proliferation and differentiation is important to understand malignancy. In this report we characterise a leukemic model, D5A1, to study the action of differentiation agent, cellular events and gene expression of the selected transcription factors. Cells induced with 4 mM hexamethylene bisacetamide (HMBA) caused signs...
full textRegulatory T Cells in Colorectal Cancer
One of the essential protection mechanisms of immune system is Treg cells which play an important role in maintenance ofimmune homeostasis. However, they may also inhibit immune functions against tumor cells. It has been reported that Treg cellsare increased in patients suffering from different types of cancer. Increased number of Treg cells has been shown in tumor lymphnodes, peripheral blood,...
full textModeling transcriptional regulatory networks.
Developmental processes in complex animals are directed by a hardwired genomic regulatory code, the ultimate function of which is to set up a progression of transcriptional regulatory states in space and time. The code specifies the gene regulatory networks (GRNs) that underlie all major developmental events. Models of GRNs are required for analysis, for experimental manipulation and, most fund...
full textMy Resources
Journal title
volume 12 issue 4
pages 379- 407
publication date 2017-10
By following a journal you will be notified via email when a new issue of this journal is published.
Hosted on Doprax cloud platform doprax.com
copyright © 2015-2023