This paper examines procyclicality of the financial system. The introduction describes the natural and regulatory … sources of procyclicality, focusing on the potential procyclical effect of the current Basel II regulatory framework for banks …

The recent financial crisis has put the spotlight on the rapid rise in credit which preceded it. In this paper, we … provide an empirical and theoretical analysis of the credit boom and the macroeconomic context in which it developed. We find … economies in which it took place. We show that this type of credit and financial cycle is hard to reconcile with existing …

Various economic theories are available to explain the existence of credit and default cycles. There remains empirical … they do, or at least that defaults and credit spreads tend to co-move with macro-economic variables. If true, this is … important for credit risk management as well as for regulation and systemic risk management. In this paper, we use 1927-1997 U …

We study the implications of the value at risk concept for the bank's optimum amount of equity capital under credit …

limit procyclicality. The case of Spain - the country with the longest experience - is reviewed, as well as those of … Colombia and Peru - countries that have recently adopted dynamic provisioning. A number of policy lessons are drawn from that …After analyzing the different reasons why the financial system and also the regulatory framework induced procyclicality …

This paper surveys gender earnings gaps in Colombia from 1994 to 2006, using matching comparisons to examine the extent …

provides some new evidence on the drivers of the great moderation and analyses the banking sector's pro-cyclicality by using …

behavior and risk sensitivity of a risk-neutral bank. The bank is exposed to credit risk and may use credit default swaps (CDS … trading is found to interact with the former effect when regulation accepts CDS as an instrument to mitigate credit risk … exposure to credit risk conditional on the CDS price being downward biased, unbiased or upward biased. This interaction …