| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10889 |
| DP10889 Credit risk characteristics of US small business portfolios | |
| Christian Wolff; Dennis Bams; Magdalena Pisa | |
| 发表日期 | 2015-10-18 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | This paper addresses issues related to industry heterogeneity, default clustering and parameter uncertainty of capital requirements in US retail loan portfolios. Using a multi-factor model of credit risk, we show that the Basel II capital requirements overstate the riskiness of small businesses. Retail exposures are a much safer investment than the regulator would suggest. We find that sensitivity to the common risk factors is low and that small business risk is predominantly a reflection of idiosyncratic risk. Our results show that only 0.00-3.39% of the asset variability is explained by economy-wide risk factors. The remaining 96.61%-100.00% of small business risk is due to changes in the firm-specific characteristics. Moreover, both expected and unexpected losses are time dependent. Their shifts over the course of financial crisis cause uncertainty in the provisions level and capital requirements. Importantly, our estimates of asset correlations are significantly lower than any available estimates for corporate firms. Our results are based on a new, representative dataset of US retail businesses from 2005 to 2011 and give fundamental insights into the US economy. |
| 主题 | Financial Economics |
| 关键词 | Capital requirements |
| URL | https://cepr.org/publications/dp10889 |
| 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/539719 |
| 推荐引用方式 GB/T 7714 | Christian Wolff,Dennis Bams,Magdalena Pisa. DP10889 Credit risk characteristics of US small business portfolios. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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