Fiordelisi, Franco; Fusi, Giulia; Maddaloni, Angela; … - 2022
When the Covid-19 crisis struck, banks using internal-rating based (IRB) models quickly recognized the increase in risk … and reduced lending more than banks using a standardized approach. This effect is not driven by borrowers' quality or by … banks in countries with credit booms before the pandemic. The higher risk sensitivity of IRB models does not always result …
