Market crises and Basel capital requirements: Could Basel III have been different? Evidence from Portugal, Ireland, Greece and Spain (PIGS)

Rossignolo, A.F., Fethi, M.D. and Shaban, M. (2013) Market crises and Basel capital requirements: Could Basel III have been different? Evidence from Portugal, Ireland, Greece and Spain (PIGS). Journal of Banking and Finance, 37 (5). 1323 - 1339. ISSN 0378-4266

Abstract

Metadata

Authors/Creators:
  • Rossignolo, A.F.
  • Fethi, M.D.
  • Shaban, M.
Copyright, Publisher and Additional Information: © 2013 Elsevier B.V. All rights reserved.
Keywords: Value-at-risk; Extreme value theory; PIGS; Basel III; Internal models approach; Standardized approach
Dates:
  • Published: 1 May 2013
Institution: The University of Sheffield
Academic Units: The University of Sheffield > Faculty of Social Sciences (Sheffield) > Sheffield University Management School
Depositing User: Symplectic Sheffield
Date Deposited: 05 Feb 2016 14:58
Last Modified: 05 Feb 2016 15:09
Published Version: http://dx.doi.org/10.1016/j.jbankfin.2012.08.021
Status: Published
Publisher: Elsevier
Refereed: Yes
Identification Number: https://doi.org/10.1016/j.jbankfin.2012.08.021

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