Behne, Markus Wilhelm; Haselmann, Rainer; Vig, Vikrant - 2014
In this paper, we investigate how the introduction of complex, model-based capital regulation affected credit risk of … financial institutions. Model-based regulation was meant to enhance the stability of the financial sector by making capital … associated with these loans and priced them accordingly. Further, we document that large banks benefited from the reform as they …
