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The countercyclical capital buffer and the composition of bank lending
Auer, Raphael A.; Matyunina, Alexandra; Ongena, Steven - 2021
Do macroprudential regulations on residential lending influence commercial lending behavior too? To answer this question, we identify the compositional changes in banks' supply of credit using the variation in their holdings of residential mortgages on which extra capital requirements were...
Persistent link: https://www.econbiz.de/10012643066
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Bank Loans Pricing and Basel II : A Multi-Period Risk-Adjusted Methodology Under the New Regulatory Constraints
Curcio, Domenico - 2011
Internal Ratings-Based approach affects the bank loan pricing mechanism, by developing a multiperiod risk-adjusted pricing … provides an immediate support for bank managers in making a loan price-related decision …
Persistent link: https://www.econbiz.de/10013131209
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Regulation, credit risk transfer with CDS, and bank lending
Pausch, Thilo; Welzel, Peter - 2012
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 …
Persistent link: https://www.econbiz.de/10009509090
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Bank size and risk-taking under Basel II
Hakenes, Hendrik; Schnabel, Isabel - 2006
We analyze the relationship between bank size and risk-taking under the New Basel Capital Accord. Using a model with …
Persistent link: https://www.econbiz.de/10010366524
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The countercyclical capital buffer and the composition of bank lending
Auer, Raphael A.; Ongena, Steven - 2019
Do macroprudential regulations on residential lending influence commercial lending behavior too? To answer this question, we identify the compositional changes in banks' supply of credit using the variation in their holdings of residential mortgages on which extra capital requirements were...
Persistent link: https://www.econbiz.de/10012064522
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Why are banks not recapitalized during crises?
Crosignani, Matteo - 2017
, in the context of the eurozone periphery, the increase in domestic government bond holdings, the reduction of bank credit …
Persistent link: https://www.econbiz.de/10011978342
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Interest and credit risk management in German banks : evidence from a quantitative survey
Dräger, Vanessa; Heckmann-Draisbach, Lotta; Memmel, … - 2020
Using unique data of a survey among small and medium-sized German banks, we analyze various aspects of risk management over a short-term and medium-term horizon. We especially analyze the effect of a 200-bp increase in the interest level. We find that, in the first year, the impairments of...
Persistent link: https://www.econbiz.de/10012160610
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Effect of the Basel Accord Capital Requirements on the Loan-Loss Provisioning Practices of Australian Banks
Cummings, James R. - 2016
There are two distinct regimes for bank provisioning in Australia: a forward-looking model for regulatory purposes and … allocate part of higher earnings for the same purpose. These results suggest that bank managers use their discretion in setting …
Persistent link: https://www.econbiz.de/10013006722
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Cross Country Linkages as Determinants of Procyclicality of Loan Loss Provisions – Empirical Importance of Sure Specification
Olszak, Małgorzata - 2014
Procyclicality in banking may result in financial instability and therefore be destructive to economic growth. The sensitivity of different banking balance sheet and income statement variables to the business cycle is diversified and may be prone to increasing integration of financial markets....
Persistent link: https://www.econbiz.de/10013061097
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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