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Pandemic lending : micro and macro effects of model-based regulation

Fiordelisi, Franco; Fusi, Giulia; Maddaloni, Angela; … - 2022

When the Covid-19 crisis struck, banks using internal-rating based (IRB) models quickly recognized the increase in risk and reduced lending more than banks using a standardized approach. This effect is not driven by borrowers' quality or by banks in countries with credit booms before the...

Persistent link: https://www.econbiz.de/10013485965

Climate transition risk in the banking sector : what can prudential regulation do?

Grill, Michael; Popescu, Alexandra; Rancoita, Elena - 2024

paper, by means of a DSGE model including heterogeneous firms and banks, financial frictions and prudential regulation … increases the volatility of lending and output. We further show that relying on microprudential regulation alone would not be … microprudential regulation, leads to a Pareto improvement. …

Persistent link: https://www.econbiz.de/10014490442

Same same but different : credit risk provisioning under IFRS 9

Behn, Markus; Couaillier, Cyril - 2023

We analyse the impact of the adoption of expected credit loss accounting (IFRS 9) on the timeliness and potential procyclicality of banks' loan loss provisioning. We use granular loan-level data from the euro area's credit register and investigate both firm-level credit events and macroeconomic...

Persistent link: https://www.econbiz.de/10014362650

What are banks' actual capital targets?

Couaillier, Cyril - 2021

How do banks set their target capital ratio? How do they adjust to reach it? This paper answers these questions using an original dataset of capital ratio targets directly announced to investors by European banks, materially improving data quality compared to usual estimated implicit target. It...

Persistent link: https://www.econbiz.de/10012705420

The procyclicality of banking : evidence from the euro area

Huizinga, Harry; Laeven, Luc - 2019

Loan loss provisions in the euro area are negatively related to GDP growth, i.e., they are procyclical. Loan loss provisions tend to be more procyclical at larger and better capitalized banks. The procyclicality of loan loss provisions can explain about two-thirds of the variation of bank...

Persistent link: https://www.econbiz.de/10012015566

Proposal on ELBE and LGD in-default : tackling capital requirements after the financial crisis

González, Marta Ramos; Partal Ureña, Antonio; … - 2018

Following the financial crisis, the share of non-performing loans has significantly increased, while the regulatory guidelines on the Internal-Ratings Based (IRB) approach for capital adequacy calculation related to defaulted exposures remains too general. As a result, the high-risk nature of...

Persistent link: https://www.econbiz.de/10011864189

When losses turn into loans : the cost of undercapitalized banks

Blattner, Laura; Farinha, Luísa A.; Rebelo, Francisco - 2019

We provide evidence that a weak banking sector has contributed to low productivity growth following the European sovereign debt crisis. An unexpected increase in capital requirements for a subset of Portuguese banks in 2011 provides a natural experiment to study the effects of reduced bank...

Persistent link: https://www.econbiz.de/10011975387

Markets, banks, and shadow banks

Martinez-Miera, David; Repullo, Rafael - 2019

We analyze the effect of bank capital requirements on the structure and risk of a financial system where markets, regulated banks, and shadow banks coexist. Banks face a moral hazard problem in screening entrepreneurs' projects, and they choose whether to be regulated or not. If regulated, a...

Persistent link: https://www.econbiz.de/10011975503

Banks, shadow banking, and fragility

Luck, Stephan; Schempp, Paul - 2014

Persistent link: https://www.econbiz.de/10010441156

Macroprudential regulation and leakage to the shadow banking sector

Gebauer, Stefan; Mazelis, Falk - 2020

institutions, or shadow banks, may not fall under their jurisdiction. We study the effects of tightening commercial bank regulation …

Persistent link: https://www.econbiz.de/10012216425

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