unweighted leverage requirements, their differential impact on bank lending, and equity buffer accumulation in excess of … regulatory minima. Tighter risk-weighted capital requirements reduce loan supply and lead to an endogenous fall in bank … profitability, reducing bank incentives to accumulate equity buffers and, therefore, increasing the incidence of bank failure …

-based capital regulation significantly affected low capitalized banks. The impact depends on a bank's credit risk model, i …This paper examines how Basel III capital reforms affected bank lending in Ger- many. We focus on the increase of ….e. whether a bank applies the standardized approach (SA) or an internal ratings-based approach (IRBA) to determine risk weights …

on financial stability and the real economy. We investigate the cyclicality of SME lending by local banks with vs …Recent regulatory efforts aim at lowering the cyclicality of bank lending because of its potential detrimental effects … maximization and a sustainable provision of financial services to local customers. We find that banks with a public mandate are 25 …

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 …

finance premium, while a BGG model generates too low volatility. The full model also matches the procyclicality of bank … leverage, unlike the GK model. For a reasonably calibrated combination shocks to the net worth of banks and non-financial firms …

). Key contributions are the use of a unique data set of SME lending by over 400 German banks and relating systematic risk to … granted in Basel II for SMEs relative to large firms. For SME loans in the corporate portfolio of the Internal Ratings …-Based Approach and also for SME loans treated under the revised standardized approach of Basel II, our asset correlation estimates …

We develop a macroeconomic portfolio stress test that is specifically geared towards small and medium-sized banks. We … banks' capital ratios. Our results show that savings banks and cooperative banks prove to be very resilient to macroeconomic … stress, while more than 6% of our sample's credit banks "fail" the stress test, mainly due to their lack of capital. The main …

Using a unique data set on German banks' sector specific loan exposures to the real economy and the corresponding write … risk factors, we separate the bank-specific selection and monitoring abilities from the composition of the loan portfolio …. In our empirical study for the period 2003-2011, we find that (a) banks which are specialized in certain industries have …

Using detailed data of all German banks, we find that banks which have suffered heavy credit losses reduce their … assumption of constant leverage. Weakly capitalized banks grant fewer new loans than other banks. We control for credit demand … using a new method, the construction of tailored hypothetical bank competitors. …

lending behavior and risk sensitivity of a risk-neutral bank. CDS contracts may be used to hedge a bank’s credit risk exposure … at a certain (potentially distorted) price. Regulation is found to induce the risk-neutral bank to behave in a more risk … credit risk. Under the substitution approach in Basel II (and III) a risk-neutral bank will over-, fully or under-hedge its …