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The cyclicality of bank credit losses and capital ratios under expected loss model

Fatouh, Mahmoud; Giansante, Simone - 2023

We model the evolution of stylised bank loan portfolios to assess the impact of IFRS 9 and US GAAP expected loss model … (ECL) on the cyclicality of loan write-off losses, loan loss provisions (LLPs) and capital ratios of banks, relative to the … incurred loss model of IAS 39. We focus on the interaction between the changes in LLPs' charges (the flow channel) and stocks …

Persistent link: https://www.econbiz.de/10014355977

To Ask or Not To Ask? Bank Capital Requirements and Loan Collateralization

Degryse, Hans - 2019

We study the impact of higher capital requirements on banks' decisions to grant collateralized rather than uncollateralized loans. We exploit the 2011 EBA capital exercise, a quasi-natural experiment that required a number of banks to increase their regulatory capital but not others. This...

Persistent link: https://www.econbiz.de/10012897240

Competition and Prudential Regulation

Fisher, Paul - 2017

In 2014 the Prudential Regulation Authority, Bank of England, was given a new secondary objective to facilitate effective competition when it advances its primary objectives related to safety and soundness and policyholder protection. Given the concerns around conflict between competition and...

Persistent link: https://www.econbiz.de/10012948427

An Overview of the UK Banking Sector Since the Basel Accord : Insights from a New Regulatory Database

de-Ramon, Sebastian - 2017

This paper provides an overview of the dramatic changes in the UK banking sector over the 1989–2013 period, seen through the lens of a newly assembled database built from banks' regulatory reports. This database, which we refer to as the Historical Banking Regulatory Database (HBRD), covers...

Persistent link: https://www.econbiz.de/10012960643

The Impact of Liquidity Regulation on Banks

Banerjee, Ryan - 2015

We present the first study to estimate the causal effect of liquidity regulation on bank balance sheets. It takes advantage of the heterogeneous implementation of tighter liquidity regulation by the UK Financial Services Authority in 2010. We find that banks adjusted the composition of both...

Persistent link: https://www.econbiz.de/10013018805

Estimating the Impact of Changes in Aggregate Bank Capital Requirements During an Upswing

Noss, Joseph - 2014

This paper estimates the effect of changes in capital requirements applied to all UK-resident banks on lending by studying the joint dynamics of the aggregate capital ratio of the UK banking system and a set of macro-financial variables. This is achieved by means of sign restrictions that...

Persistent link: https://www.econbiz.de/10013055925

The More the Merrier? Evidence from the Global Financial Crisis on the Value of Multiple Requirements in Bank Regulation

Buckmann, Marcus; Gallego Marquez, Paula; Gimpelewicz, … - 2021

This paper assesses the value of multiple requirements in bank regulation using a novel empirical rule‑based methodology. Exploiting a dataset of capital and liquidity ratios for a sample of global banks in 2005 and 2006, we apply simple threshold-based rules to assess how different...

Persistent link: https://www.econbiz.de/10013241644

The Repo Market Under Basel III

Gerba, Eddie; Katsoulis, Petros - 2022

This paper assesses the impact of banking regulation (Basel III) on financial market dynamics using the repo market as an important case study. To this end, we use unique proprietary data sets from the Bank of England to examine the individual and joint impact of leverage, capital and liquidity...

Persistent link: https://www.econbiz.de/10013297525

The Impact of Capital Requirements on Bank Lending

Bridges, Jonathan - 2014

We estimate the effect of changes in microprudential regulatory capital requirements on bank capital ratios and bank lending. We do so by running panel regressions using a rich new data set, exploiting variation in individual bank capital requirements in the United Kingdom from 1990-2011. There...

Persistent link: https://www.econbiz.de/10013059720

Specialisation in Mortgage Risk Under Basel II

Benetton, Matteo - 2017

Since Basel II was introduced in 2008, two approaches to calculating bank capital requirements have co-existed: lenders' internal models, and a less risk-sensitive standardised approach. Using a unique dataset covering 7 million UK mortgages for 2005–15, and novel identification, we provide...

Persistent link: https://www.econbiz.de/10012965404

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