Search results for "Risk-weighted asset"
showing 5 items of 5 documents
Market risk reporting in banking overcoming the limits of IAS/IFRS and Basel regulation
2017
Market risk in banking activity is becoming a more severe issue day by day for several reasons. Analysing it from a regulatory point of view is fundamental for assessing whether or not banks are in the conditions of disclosing a satisfactory degree of information about their market risk exposure. The two regulatory constraints to consider are International Accounting Standards (IAS/IFRS) and the Basel regulation. Both of them seem to put too many constraints on banks. They turn out to be over-over-regulated. Even if regulators put many efforts in trying to provide a useful regulation for banks' risk reporting and capital adequacy, we are still far from a good regulation. The regulatory proc…
The Cyclicality of Bank Credit Losses and Capital Ratios under Expected Loss Model
2023
We model the evolution of stylised bank loan portfolios to assess the impact of IFRS 9 and US GAAP expected loss model (ECL) on the cyclicality of loan loss provisions (LLPs), realised losses and capital ratios of banks, relative to the incurred loss model of IAS 39. We focus on the interaction between the changes in LLPs charges (the flow channel) and stocks (the stock channel) under ECL. Our results show that, when GDP growth doesn’t demonstrate high volatility, ECL model smooths the impact of credit losses on profits and capital resources, reducing the pro-cyclicality of capital and leverage ratios, especially under US GAAP. However, when GDP growth is highly volatile, the large differen…
Basel II and bank lending to emerging markets: Evidence from the German banking sector
2007
Abstract This paper investigates whether the new Basel Accord will induce a change in bank lending to emerging markets using a comprehensive new data set on German banks’ foreign exposure. We test two interlinked hypotheses on the conditions under which the change in the regulatory capital would leave lending flows unaffected. This would be the case if (i) the new regulatory capital requirement remains below the economic capital and (ii) banks’ economic capital to emerging markets already adequately reflects risk. On both accounts the evidence indicates that the new Basel Accord should have a limited effect on lending to emerging markets.
A fuzzy-set qualitative comparative analysis model to predict bank bailouts: a study of the Spanish financial system
2020
This paper examines the restructuring of the Spanish financial system. This study is justified by the massive economic and social impact of this process in Spain. Based on the annual accounts and the annual reports of Spanish credit institutions, a model was created to predict the possibility of bank failure or bailout. The variables were selected following a review of the literature. They included the legal form of the credit institution (savings bank versus bank), leverage, real estate investment, gross operating margin, staff costs and non-performing loans. Two variables that had not previously been used in studies of this type were also included in the model: risk-weighted assets and co…
The impact of quantitative easing on UK bank lending: Why banks do not lend to businesses?
2021
Abstract The growing proportion of UK bank lending to the financial sector reached a peak in 2007 just before the onset of the Global Financial Crisis (GFC). This marks a trend in the dwindling amount of bank lending to private sector non-financial corporations (PNFCs), which was exacerbated with the Great Recession. Many central banks aimed to revive bank lending with quantitative easing (QE) and unconventional monetary policy. We propose an agent based computational economics (ACE) model which combines the main factors in the economic environment of QE and Basel regulatory framework to analyse why UK banks do not prioritize lending to non-financial businesses. The lower bond yields caused…