Tips to navigate the program:
- Overview of all papers on a specific day: click on the day (e.g. Date: Thursday, 24/Aug/2017). To download papers, you will need to access the session by clicking on its title first.
- Program index: click on the Authors tab below.
- Location name: to display all sessions taking place in that room
- Search box: to search for authors, papers and sessions.
Please notes that changes in the program might occur.
If your name is not displayed in the program, please register in our conference system.
If your paper information is not up to date, please send us an email at firstname.lastname@example.org.
FIIE-9: Capital Regulation
Specialisation in Mortgage Risk under Basel II
1Bank of England; 2London School of Economics; 34-most Europe
Since Basel II was introduced in 2008, two approaches to calculating bank capital requirements have co-existed: lenders’ internal models, and a less risk-sensitive standardised approach. Using a unique dataset covering 7 million UK mortgages for 2005–15, and novel identification, we provide empirical evidence that the differences between these approaches cause lenders to specialise. This leads to systemic concentration of high-risk mortgages in lenders with less sophisticated risk management. Our results have broad implications for the design of the international bank capital framework.
A Comprehensive View on Risk Reporting: Evidence from Supervisory Data
1Goethe University Frankfurt, SAFE; 2Deutsche Bundesbank
We examine how banks that use the internal ratings-based (IRB) approach assess credit risk in the credit portfolio depending on their market risk exposure in the trading book. We have access to supervisory data on internal credit risk ratings of all banks in Germany assigned to their borrowers at the borrower-bank-quarter level for the period 2008-2012. We find that banks with higher market risk exposure in the trading book (as compared to banks with lower market risk exposure) assign lower credit risk ratings to the same borrower at the same time, especially when the bank has more binding regulatory capital limits. Moreover, we find that these banks report lower internal credit risk ratings for borrowers from sectors that are less transparent with respect to fundamental information. These results suggest that banks - under IRB - cross-subsidize market risk exposure by strategically reporting lower credit risk ratings and thus engage in a form of regulatory arbitrage.
Did the Basel Process of Capital Regulation Enhance the Resiliency of European Banks?
University of Vienna
This paper analyses the evolution of the safety and soundness of the European banking sector during the various stages of the Basel process of capital regulation. We trace various measures of systemic risk and systematic risk as the Basel process unfolds and observe that, though systematic risk for European banks has been moderately decreasing over the last three decades, exposure to systemic risk has heightened considerably. This is particularly true, when we apply SRISK for the largest systemic banks. While the Basel process has succeeded in containing systemic risk for smaller banks, according to some measures it has been far less successful for the largest institutions. By exploiting the option of self-regulation embodied in the choice of internal models, the latter effectively seem to have increased their exposure to systemic risk as reflected in increasing SRISK. Hence, the sub-prime crisis found especially the largest and more systemic banks ill-prepared and lacking resiliency. This condition has even aggravated during the European sovereign crisis. Banking Union has not (yet) brought about a significant increase in the safety and soundness of the European banking system. Finally, low interest rates affect considerably to the contribution to systemic risk across the whole spectrum of banks.
Contact and Legal Notice · Contact Address:
Conference: EFA 2017
|Conference Software -
ConfTool Pro 2.6.111+TC
© 2001 - 2017 by H. Weinreich, Hamburg, Germany