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Displaying results 1 to 4 of 4.

  1. The cyclicality of bank credit losses and capital ratios under expected loss model
    Author: Fatouh, Mahmoud; Giansante, Simone
    Published: [2023]
    Publisher:  Bank of England, London

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    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 443
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    No inter-library loan
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Staff working paper / Bank of England ; no. 1013 (January 2023)
    Subjects: IFRS 9; IAS 39; US GAAP; expected credit loss model; loan loss provisions; cyclicality of bank profits; leverage ratio; risk-weighted assets
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  2. Back to the roots of internal credit risk models
    why do banks' risk-weighted asset levels converge over time?
    Author: Böhnke, Victoria; Ongena, Steven; Paraschiv, Florentina; Reite, Endre J.
    Published: [2022]
    Publisher:  Swiss Finance Institute, Geneva

    The internal ratings-based (IRB) approach maps banks’ risk profiles more adequately than the standardized approach. After switching to IRB, banks’ risk-weighted asset (RWA) densities are thus expected to diverge, especially across countries with... more

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    Verlag (kostenfrei)

    Location:
    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
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    Location:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Inter-library loan:
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 544
    Inter-library loan:
    No inter-library loan

     

    The internal ratings-based (IRB) approach maps banks’ risk profiles more adequately than the standardized approach. After switching to IRB, banks’ risk-weighted asset (RWA) densities are thus expected to diverge, especially across countries with different supervisory strictness and risk levels. However, when examining 52 listed banks headquartered in 14 European countries that adopted the IRB approach, we observe a convergence of their RWA densities over time. We test if this convergence can be entirely explained by differences in the size of the banks, loss levels, country risk, and/or time of IRB implementation, yet this is not the case. Whereas banks in high-risk countries, with lax regulation, reduce their RWA densities, banks elsewhere increase theirs. Especially for banks in high-risk countries, RWA densities underestimate banks’ actual economic risk. Hence, the IRB approach allows for regulatory arbitrage, whereby authorities only enforce strict supervision on capital requirements if they do not jeopardize bank resilience

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Research paper series / Swiss Finance Institute ; no 22, 33
    Subjects: Capital regulation; credit risk; internal ratings-based approach; regulatory arbitrage; risk-weighted assets
    Other subjects: Array
    Scope: 1 Online-Ressource (circa 91 Seiten), Illustrationen
  3. The ECB Single Supervisory Mechanism
    effects on bank performance and capital requirements
    Author: Raunig, Burkhard; Sigmund, Michael
    Published: [2022]
    Publisher:  OeNB, Oesterreichische Nationalbank, Vienna, Austria

    Under the Single Supervisory Mechanism (SSM) introduced in 2014, the European Central Bank directly supervises significant euro area banks, which hold about 82% of total banking assets. We find that this important supervisory change has positive... more

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 821
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    Under the Single Supervisory Mechanism (SSM) introduced in 2014, the European Central Bank directly supervises significant euro area banks, which hold about 82% of total banking assets. We find that this important supervisory change has positive effects on the return on assets and the return on risk-weighted assets of SSM banks without increasing the risk weights used to calculate regulatory capital. Our findings indicate that these effects result from better risk management and increased confidence in the soundness of SSM banks. Our results therefore suggest that the SSM has strengthened the resilience of the euro area banking system.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/278205
    Series: Working paper / Oesterreichische Nationalbank ; 244
    Subjects: ECB Single Supervisory Mechanism; bank profitability; capital requirements; risk-weighted assets
    Scope: 1 Online-Ressource (circa 56 Seiten), Illustrationen
  4. Back to the roots of internal credit risk models
    does risk explain why banks' risk-weighted asset levels converge over time?
    Author: Böhnke, Victoria; Ongena, Steven; Paraschiv, Florentina; Reite, Endre J.
    Published: [2024]
    Publisher:  Deutsche Bundesbank, Frankfurt am Main

    The internal ratings-based (IRB) approach maps bank risk profiles more adequately than the standardized approach. After switching to IRB, banks' risk-weighted asset (RWA) densities are thus expected to diverge, especially across countries with... more

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 12
    Inter-library loan:
    No inter-library loan

     

    The internal ratings-based (IRB) approach maps bank risk profiles more adequately than the standardized approach. After switching to IRB, banks' risk-weighted asset (RWA) densities are thus expected to diverge, especially across countries with different supervisory strictness and risk levels. However, when examining 52 listed banks headquartered in 14 European countries that adopted the IRB approach, we observe a downward convergence of their RWA densities over time. We test whether this convergence can be entirely explained by differences in the size of the banks, loss levels, country risk, and/or time of IRB implementation. Our findings indicate that this is not the case. Whereas banks in high-risk countries with less strict regulation and/or supervision, reduce their RWA densities, banks elsewhere increase theirs. Especially for banks in high-risk countries, RWA densities seem to underestimate banks' economic risk. Hence, the IRB approach enables regulatory arbitrage, whereby authorities may only enforce strict supervision on capital requirements if they do not jeopardize bank existence.

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9783957299710
    Other identifier:
    hdl: 10419/283007
    Series: Discussion paper / Deutsche Bundesbank ; no 2024, 02
    Subjects: Capital regulation; credit risk; internal ratings-based approach; regulatory arbitrage; risk-weighted assets
    Scope: 1 Online-Ressource (circa 43 Seiten), Illustrationen