We study how a bank credit crunch—a dramatic worsening of firm and consumer access to bank credit, such as the one observed over the Great Recession—translates into job losses in U.S. manufacturing industries. To identify the impact of the recent credit crunch, we rely on differences in the...

Securitization is a financial innovation that experiences a boom-bust cycle, as many other innovations before. This paper analyzes possible reasons for the breakdown of primary and secondary securitization markets, and argues that misaligned incentives along the value chain are the primary cause...

In April 2003 the Basel Committee on Banking Supervision issued a third consultative paper on the new Basel Capital Accord (Basel II). The document contains substantial changes with respect to the previous proposal of January 2001, on which improvements were requested, among other aspects,...

In April 2003 the Basel Committee on Banking Supervision issued a third consultative paper on the new Basel Capital Accord (Basel II). The document contains substantial changes with respect to the previous proposal of January 2001, on which improvements were requested, among other aspects,...

On May 11-12, 2011, SUERF, the Belgian Financial Forum, the Brussels Finance Institute and the Centre for European Policy Studies (CEPS) jointly organised the 29th SUERF Colloquium New paradigms in money and finance? The papers included in this SUERF Study are based on contributions to the...

Die Vielfalt von möglichen wirtschaftlichen Konsequenzen von Banksolvenzproblemen trägt auch dazu bei, dass wissenschaftliche Fragen über die Eigenkapitalregulierung im Bankensektor schon seit einigen Jahren ziemlich intensiv diskutiert werden. Die Effekte von Eigenkapitalregulierung können...

Basel III has introduced a non-risk-weighted leverage ratio requirement (LRR) which complements the internal ratings based (IRB) capital requirements. It provides a backstop against model risk which arises if some loans get incorrectly rated and become toxic. We study the effects of the LRR on...

This paper is one of the first attempts to conduct an empirical investigation of the relationship between bank capital, securitization and bank risk-taking in a context of the rapid growth in off-balance-sheet activities. The data come from the Canadian financial sector. Evidence from the...

We analyse the implications for the pricing of bank loans of the reform of capital regulation known as Basel II. We consider a perfectly competitive market for business loans where, as in the model underlying the internal ratings based (IRB) approach of Basel II, a single risk factor explains...

This paper is the first to analyze the credit risk of a microfinance institution based on the loan portfolio of a leading Maghrebian microfinance institution, both in terms of number of clients served and of portfolio size. This allows us to work with a proprietary data set of 1,144,770...