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Bank size and risk-taking under Basel II
Hakenes, Hendrik; Schnabel, Isabel - 2006
We analyze the relationship between bank size and risk-taking under the New Basel Capital Accord. Using a model with imperfect competition and moral hazard, we show that the introduction of an internal ratings based (IRB) approach improves upon flat capital requirements if the approach is...
Persistent link: https://www.econbiz.de/10010366524
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The value of operating cash flow in modelling credit risk for SMEs
Gupta, Jairaj; Wilson, Nicholas; Gregoriou, Andros; … - In: Applied financial economics 24 (2014) 7/9, pp. 649-660
Persistent link: https://www.econbiz.de/10010402670
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The Effect of Internationalization on Modeling Credit Risk for SMEs : Evidence from UK Market
Gupta, Jairaj - 2014
This study considers domestic and international small and medium-sized enterprises (SMEs) of the United Kingdom separately while modelling their default risk. To establish the empirical validation, separate one-year default prediction models are developed using dynamic logistic regression...
Persistent link: https://www.econbiz.de/10013064905
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Modeling credit risk for SMEs : evidence from the US market
Altman, Edward I.; Sabato, Gabriele - In: Managing and measuring risk : emerging global standards …, (pp. 251-279). 2012
Persistent link: https://www.econbiz.de/10009742619
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Evaluation of minimum capital requirements for bank loans to SMEs
Düllmann, Klaus; Koziol, Philipp - 2013
). Key contributions are the use of a unique data set of SME lending by over 400 German banks and relating systematic risk to … granted in Basel II for SMEs relative to large firms. For SME loans in the corporate portfolio of the Internal Ratings …-Based Approach and also for SME loans treated under the revised standardized approach of Basel II, our asset correlation estimates …
Persistent link: https://www.econbiz.de/10009751062
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Modelling credit risk for SMEs : evidence from the US market
Altman, Edward I.; Sabato, Gabriele - In: Abacus : a journal of accounting, finance and business … 43 (2007) 3, pp. 332-357
Persistent link: https://www.econbiz.de/10003559112
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Evaluation of Minimum Capital Requirements for Bank Loans to Smes
Düllmann, Klaus - 2016
). Key contributions are the use of a unique data set of SME lending by over 400 German banks and relating systematic risk to … granted in Basel II for SMEs relative to large firms. For SME loans in the corporate portfolio of the Internal Ratings …-Based Approach and also for SME loans treated under the revised standardized approach of Basel II, our asset correlation estimates …
Persistent link: https://www.econbiz.de/10012988786
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Lower bank capital requirements as a policy tool to support credit to SMEs : evidence from a policy experiment
Dietsch, Michel; Fraisse, Henri; Lecarpentier, Sandrine; … - 2019
Persistent link: https://www.econbiz.de/10012241990
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Are capital requirements on small business loans flawed?
Bams, Dennis; Pisa, Magdalena; Wolff, Christiaan … - In: Journal of empirical finance 52 (2019), pp. 255-274
Persistent link: https://www.econbiz.de/10012171145
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Capital Requirements in Supervisory Stress Tests and Their Adverse Impact on Small Business Lending
Covas, Francisco - 2018
This paper estimates the implicit capital requirements in the U.S. supervisory stress tests. Our results show that stress tests are imposing dramatically higher capital requirements on certain asset classes – most notably, small business loans and residential mortgages – than bank internal...
Persistent link: https://www.econbiz.de/10012932056