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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
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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
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Dis-Integrating Credit Markets : Diversification, Securitization, and Lending in a Recovery
Chavaz, Matthieu - 2016
Using exogenous variation in exposure to hurricanes, this article explores how differently diversified US banks lend during the protracted recovery from a major downturn. Compared to diversified banks, local banks (i) originate a higher share of new mortgage and small business loans in affected...
Persistent link: https://www.econbiz.de/10012982492
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To Ask or not to Ask : Collateral Vs. Screening in Lending Relationships
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/10012893708
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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
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Does Macropru Leak? Evidence from a UK Policy Experiment
Aiyar, Shekhar S. - 2012
The regulation of bank capital to improve the resilience of the financial system and, related to this aim, as a means of smoothing the credit cycle are central elements of forthcoming macroprudential regimes internationally. For such regulation to be effective in controlling the aggregate supply...
Persistent link: https://www.econbiz.de/10013111716
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The Leverage Ratio, Risk-Taking and Bank Stability
Acosta Smith, Jonathan - 2019
This paper addresses the trade-off between additional loss-absorbing capacity and potentially higher bank risk …
Persistent link: https://www.econbiz.de/10012897424
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Liquidity Transformation, Collateral Assets and Counterparties
de Roure, Calebe - 2019
We investigate how counterparties' characteristics, and the collateral they use, interact with their demand for liquidity in the Bank of England's (BoE) operations. Between 2010 and 2016 there was regular usage of two BoE facilities: Indexed Long-Term Repos (ILTR) and the Funding for Lending...
Persistent link: https://www.econbiz.de/10012862159
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Mortgages : Estimating Default Correlation and Forecasting Default Risk
Neumann, Tobias - 2018
Default correlation is a key driver of credit risk. In the Basel regulatory framework it is measured by the asset value correlation parameter. Though past studies suggest that the parameter is over-calibrated for mortgages — generally the largest asset class on banks' balance sheets — they...
Persistent link: https://www.econbiz.de/10012925775
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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