02-107/2 - Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation

  • Authors
    Siem Jan Koopman, Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam; André Lucas, Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam; Pieter Klaassen, ABNAMRO Bank NV, and Vrije Universiteit Amsterdam
  • Publication date
    October 24, 2002
  • Keywords
    credit risk; pro-cyclicality; capital requirements; dynamic models; common factors; credit cycles; time varying parameters
  • JEL
    G21; C19
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