| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9494 |
| DP9494 The Manipulation of Basel Risk-Weights | |
| Ouarda Merrouche; Mike Mariathasan | |
| 发表日期 | 2013-05-26 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | In this paper, we examine the relationship between banks? approval for the internal ratings-based (IRB) approaches of Basel II and the ratio of risk-weighted over total assets. Analysing a panel of 115 banks from 21 OECD countries that were eventually approved for applying the IRB to their credit portfolio, we find that risk-weight density is lower once regulatory approval is granted. The effect persists when we control for different loan categories, and we provide evidence showing that it cannot be explained by flawed modelling, or improved risk-measurement alone. Consistent with theories of risk-weight manipulation, we find the decline in risk-weights to be particularly prevalent among weakly capitalised banks, when the legal framework for supervision is weak, and in countries where supervisors are overseeing many IRB banks. We conclude that part of the decline in reported riskiness under the IRB results from banks? strategic risk-modelling. |
| 主题 | Financial Economics |
| 关键词 | Basel ii Internal ratings-based approach Capital regulation |
| URL | https://cepr.org/publications/dp9494 |
| 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/538330 |
| 推荐引用方式 GB/T 7714 | Ouarda Merrouche,Mike Mariathasan. DP9494 The Manipulation of Basel Risk-Weights. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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