The capital requirements derived from the Basel Accord were issued with purpose of deploying a transnational regulatory framework. Further developments on risk measurement is included across several documents published both by European Banking Authority and Central Bank. Among others, referred additional documentation focused models’ estimation calibration for credit purposes, especially Advanc...

Following the financial crisis of 2009 there was an emergence macroprudential policy tools, as well a need to model macroeconomy and sector in coherent framework. This paper develops calibrates small open economy DSGE for Lithuania shed some light on interactions between banking sector, regulated by policy. The features housing market, endogenous credit risk la de Walque et al. (2010), whereby ...

Why do some residential mortgages carry a fixed interest rate and others an adjustable rate? To answer this question we studied unique data from 103 banks belonging to 73 different banking groups across twelve countries in the euro area. explain large cross-country time variations observed, distinguished between conditions that determine local demand for credit characteristics of supply credit....