| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3890 |
| DP3890 Are Household Portfolios Efficient? An Analysis Conditional on Housing | |
| Guglielmo Weber | |
| 发表日期 | 2003-05-23 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | We analyse the implications for the pricing of bank loans of the reform of capital regulation known as Basel II. We consider a perfectly competitive market for business loans where, as in the model underlying the internal ratings based (IRB) approach of Basel II, a single risk factor explains the correlation in defaults across firms. Our loan pricing equation implies that low-risk firms will achieve reductions in their loan rates by borrowing from banks adopting the IRB approach, while high-risk firms will avoid increases in their loan rates by borrowing from banks that adopt the less risk-sensitive standardized approach of Basel II. We also show that only an extremely high social cost of bank failure might justify the proposed IRB capital charges for high-risk loans, partly because the margin income from performing loans is not counted as a buffer against credit losses, and we propose a margin income correction for IRB capital requirements. |
| 主题 | Financial Economics |
| 关键词 | Bank regulation Capital requirements Credit risk Internal ratings Loan defaults Margin income |
| URL | https://cepr.org/publications/dp3890 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532877 |
| 推荐引用方式 GB/T 7714 | Guglielmo Weber. DP3890 Are Household Portfolios Efficient? An Analysis Conditional on Housing. 2003. |
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