flat capital requirements if the approach is applied uniformly across banks and if the costs of implementation are not too … high. However, the banks' right to choose between the standardized and the IRB approaches under Basel II gives larger banks … a competitive advantage and, due to fiercer competition, pushes smaller banks to take higher risks. This may even lead …

Our paper addresses firm size as a driver of systematic credit risk in loans to small and medium enterprises (SMEs …). Key contributions are the use of a unique data set of SME lending by over 400 German banks and relating systematic risk to … particularly rich and well developed credit market for SMEs in Germany. We estimate asset correlations as the key measure of …

banks using a non-parametric Monte Carlo re-sampling method following Carey [1998]. Our results are based on a panel data … set containing both loan and internal rating data from the banks complete business loan portfolios over the period 1997 … businesses in the sample is rated by both banks, we can generate loss distributions for SME, retail and corporate credit …