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Lower bank capital requirements as a policy tool to support credit to SMEs : evidence from a policy experiment
Dietsch, Michel; Fraisse, Henri; Lecarpentier, Sandrine; … - 2019
Persistent link: https://www.econbiz.de/10012241990
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Loss given default in SME leasing
Kaposty, Florian; Klein, Philipp; Löderbusch, Matthias; … - In: Review of managerial science : RMS 16 (2022) 5, pp. 1561-1597
Persistent link: https://www.econbiz.de/10013457777
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Basel III and SME bank finance in Germany
Marek, Philipp; Stein, Ingrid - 2022
This paper examines how Basel III capital reforms affected bank lending in Ger- many. We focus on the increase of minimum risk-based capital requirements and the introduction of the leverage ratio. The announcement of stricter risk-based capital regulation significantly affected low capitalized...
Persistent link: https://www.econbiz.de/10013399771
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Support for the SME supporting factor : multi-country empirical evidence on systematic risk factor for SME loans
Dietsch, Michel; Düllmann, Klaus; Fraisse, Henri; … - 2016
consistency of own funds requirements with the riskiness of SME. In both the French and the German sample, results suggest that … the relative differences between the capital requirements for large corporates and those for SME (in other words the … capital relief for SME) are lower in the Basel III framework than implied by empirically estimated asset correlations. Results …
Persistent link: https://www.econbiz.de/10011564456
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Bank size and risk-taking under Basel II
Hakenes, Hendrik; Schnabel, Isabel - 2006
We analyze the relationship between bank size and risk-taking under the New Basel Capital Accord. Using a model with imperfect competition and moral hazard, we show that the introduction of an internal ratings based (IRB) approach improves upon flat capital requirements if the approach is...
Persistent link: https://www.econbiz.de/10010366524
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Credit risk versus capital requirements under Basel II : are SME loans and retail credit really different?
Jacobson, Tor; Lindé, Jesper; Roszbach, Kasper - 2004
the differences between the risk properties of retail, SME and corporate credit has been based on parameterized models of … businesses in the sample is rated by both banks, we can generate loss distributions for SME, retail and corporate credit … portfolios with a constant risk profile. Our findings suggest that a special treatment for retail credit and SME loans may not be …
Persistent link: https://www.econbiz.de/10011583864
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Do Eurozone yield spreads predict recessions?
Schock, Matthias - 2014 - Rev. September 2014
An OLS and probit framework is used to examine the predictive power of yield spreads with respect to GDP growth and recessions in the Eurozone from the 1990s to the recent past. Credit default swap (CDS) data on sovereign bonds, which provide a direct measure of default risk, are employed as...
Persistent link: https://www.econbiz.de/10010419649
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Forecasting expected and unexpected losses
Juselius, Mikael; Tarashev, Nikola A. - 2020
Persistent link: https://www.econbiz.de/10012483284
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Interest and credit risk management in German banks : evidence from a quantitative survey
Dräger, Vanessa; Heckmann-Draisbach, Lotta; Memmel, … - 2020
Using unique data of a survey among small and medium-sized German banks, we analyze various aspects of risk management over a short-term and medium-term horizon. We especially analyze the effect of a 200-bp increase in the interest level. We find that, in the first year, the impairments of...
Persistent link: https://www.econbiz.de/10012160610
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Leading Indicator Properties of Corporate Bond Spreads, Excess Bond Premia and Lending Spreads in the Euro Area
Krylova, Elizaveta - 2016
This paper analyses leading indicator properties of a broad set of credit spreads, compiled on the basis of information from both corporate bonds and bank loans for forecasting of real activity, unemployment, inflation and lending volumes in the euro area and in five major European economies. It...
Persistent link: https://www.econbiz.de/10012988612