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Incorporating Systematic Influences Into Risk Management
Year Of Publication: 2002
Month Of Publication: December
Pages: 78
Download Count: 1139
View Count: 9787
Comment Num: 0
Language: EN
Who Can Read: Free
Date: 9-13-2003
Publisher: Administrator
Procyclicality has emerged as a potential drawback to adoption of risk-sensitive bankcapital requirements. Systematic risk factors may result in increases (decreases) in bank capital requirements when the economy is depressed (overheated), thereby decreasing (increasing) bank lending capacity and exacerbating business cycle fluctuations. Procyclicality may result from systematic risk emanating from common macroeconomic influences or from interdependencies across firms as financial markets and institutions consolidate internationally. We describe cyclical effects on operational risk, credit risk and market risk measures.
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