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 …

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 …

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 …

mortgage-specialized banks raise prices more than their competitors do. Second, risk-weighting schemes linked to borrower risk … intended effect in shifting mortgages from less resilient to more resilient banks, but stricter capital requirements do not … appear to have discouraged less resilient banks from risky mortgage lending. …

Banks in the Czech Republic maintain their regulatory capital ratios well above the level required by their regulator … stemming from capital buffers and Pillar 2 add-ons on the capital ratios of banks holding such extra capital. The results … provide evidence that banks shrink their capital surplus in response to higher capital requirements. A substantial portion of …

This paper investigates the incentives for banks to bias their internally generated risk estimates. We are able to … by low-capital banks to improve regulatory ratios. At the portfolio level, the difference in borrower probability of … credits. In addition, we find that low-capital banks' risk estimates have less explanatory power than those of high …

been given a central role. Although much research has been done on external ratings, much less is known about banks … the complete business loan portfolios of two Swedish banks and a credit bureau over the period 1997-2000. We study rating … portfolio with identical counterparts, substantial differences in the implied riskiness between banks. Such differences could …

provides guidance on how non-Basel Committee member countries could incorporate banks' capital and liquidity standards into …