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Arbitraging the Basel securitization framework : evidence from German ABS investment

Efing, Matthias - 2015

This paper provides evidence for regulatory arbitrage within the class of assetbacked securities (ABS) based on individual asset holding data of German banks. I find that those banks operating with tight regulatory constraints pick the securities with the highest yield and lowest collateral...

Persistent link: https://www.econbiz.de/10011391709

Occupy risk weighting : how the minimum leverage ratio dominates capital requirements ; a Swiss example ; conference paper

Kellermann, Kersten; Schlag, Carsten-Henning - 2013

requirements, using financial data of the Swiss systemically important bank UBS. It can be shown that the leverage ratio …

Persistent link: https://www.econbiz.de/10010340012

Implications of bank regulation for credit intermediation and bank stability : a dynamic perspective ; conference paper

Bucher, Monika; Dietrich, Diemo; Hauck, Achim - 2013

Business cycles imply liquidity risks for banks. This paper explores how these risks influence bank lending over the … cycle. With forward-looking banks, lending cycles, credit booms and busts, or suppressed and highly fragile bank systems can … unpleasant effects on bank lending. Imposing countercyclical capital adequacy ratio may amplify procyclicality or result in …

Persistent link: https://www.econbiz.de/10010341626

Risk weights, lending, and financial stability : limits to model-based capital regulation ; conference paper

Behn, Markus; Haselmann, Rainer; Vig, Vikrant - 2014

quantity and the composition of bank lending. We find that credit supplied by banks that introduced the model-based approach …

Persistent link: https://www.econbiz.de/10010485279

Macroprudential policy : a blessing or a curse?

Popoyan, Lilit - 2016

After the destructive impact of the global financial crisis of 2008, many believe that pre-crisis financial market regulation did not take the "big picture" of the system suffciently into account and, subsequently, financial supervision mainly "missed the forest for the trees". As a result, the...

Persistent link: https://www.econbiz.de/10011477338

The Impact of IRB Approach on the Credit Risk Exposure Under Basel II

Shimizu, Katsutoshi - 2014

This paper empirically investigates the impact of internal ratings-based (IRB) approach on the risk weight under Basel II. Assuming increasing cost of raising new capital when the requirement constraint is violated, this paper estimates the difference of unknown risk weight parameters between...

Persistent link: https://www.econbiz.de/10013065748

How A Credit Run Affects Asset Correlation

Imanto, Christopher Paulus - 2020

This paper analyses the effect of soaring demand in the lending market shortly before a fi nancial crisis (hereinafter "credit run"). A credit run affects the asset correlation, which is one of the main parameters in the Internal Ratings-Based Approach (IRBA) of the Basel III framework. In the...

Persistent link: https://www.econbiz.de/10012836153

Short-Term Debt and Bank Risk

Du, Brian - 2016

agreements (repos) was recognized by external capital markets to increase bank risk in the pre-crisis period. In the crisis, we …

Persistent link: https://www.econbiz.de/10012977970

Measuring Capital Adequacy Supervisory Stress Tests in a Basel World

Wall, Larry D. - 2015

credit and interest rate risk, the way it measures bank capital, and the way it creates countercyclical capital buffers …

Persistent link: https://www.econbiz.de/10013026153

Security Holdings and Risk Weighted Asset under Basel Capital Regulation

Shimizu, Katsutoshi - 2014

This paper empirically investigates how risk exposure of security holdings affected the optimal choice of total risk weighted asset under Basel II regulation. With costly recapitalization cost, banks optimally choose buffer regulatory capital above the minimum standard. Therefore, security...

Persistent link: https://www.econbiz.de/10013063379