This paper discusses the relationship between bank size and risk-taking under Pillar I of the New Basel Capital Accord. Using a model with imperfect competition and moral hazard, we find that small banks (and hence small borrowers) may profit from the introduction of an internal ratings based...

We present a banking model with imperfect competition in which borrowers’ access to credit is improved when banks are able to transfer credit risks. However, the market for credit risk transfer (CRT) works smoothly only if the quality of loans is public information. If the quality of loans is...

Using bank level measures of competition and co-dependence, we show a robust negative relationship between bank competition and systemic risk. Whereas much of the extant literature has focused on the relationship between competition and the absolute level of risk of individual banks, in this...

We present a banking model with imperfect competition in which borrowers' access to credit is improved when banks are able to transfer credit risks. However, the market for credit risk transfer (CRT) works smoothly only if the quality of loans is public information. If the quality of loans is...

This paper studies the effects of mortgage subsidies and imperfect competition in the U.S. mortgage market. I exploit novel quasi-experimental variation in interest rates generated by the discontinuities in pricing rules and find evidence of advantageous selection. I develop and estimate a rich...

This study examines two questions relating to the banking market structure. First, does the banking market structure influence banks' decisions to originate new single-family home mortgages? Second, does the banking market concentration affect mortgage default risks? Using a two-stage approach...

A common assumption in the academic literature is that franchise value plays a key role in limiting bank risk-taking. As market power is the primary source of franchise value, reduced competition in banking markets has been seen as promoting banking stability. We test this hypothesis using data...

Purpose – The purpose of this paper is to discuss important aspects concerned with credit risk measurement of SMEs.Methodology - Paper presents theoretical study, based on literature review and summary of findings of similar research papers, which have focused on credit risk assessment of...

In this study, we assess whether banking system concentration is strongly linked to banks credit risk exposure. We use a sample of 138 commercial banks drawn from SADC countries between 1999 and 2005. The results exhibit no significant influence of concentration on four measures of credit...

We analyze the relationship between bank size and risk-taking under the New Basel Capital Accord. Using a model with imperfect competition and moral hazard, we show that the introduction of an internal ratings based (IRB) approach improves upon flat capital requirements if the approach is...