G2TT
来源类型Discussion paper
规范类型论文
来源IDDP9494
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
URLhttps://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。
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Ouarda Merrouche]的文章
[Mike Mariathasan]的文章
百度学术
百度学术中相似的文章
[Ouarda Merrouche]的文章
[Mike Mariathasan]的文章
必应学术
必应学术中相似的文章
[Ouarda Merrouche]的文章
[Mike Mariathasan]的文章
相关权益政策
暂无数据
收藏/分享

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。