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dc.contributor.authorFees, Eberharden_US
dc.contributor.authorHege, Ulrichen_US
dc.date.accessioned2006-08-01en_US
dc.date.accessioned2009-07-24T13:47:08Z-
dc.date.available2009-07-24T13:47:08Z-
dc.date.issued2004en_US
dc.identifier.piurn:nbn:de:hebis:30-10769-
dc.identifier.urihttp://hdl.handle.net/10419/25415-
dc.description.abstractThe Basel Committee plans to differentiate risk-adjusted capital requirements between banks regulated under the internal ratings based (IRB) approach and banks under the standard approach. We investigate the consequences for the lending capacity and the failure risk of banks in a model with endogenous interest rates. The optimal regulatory response depends on the banks’ inclination to increase their portfolio risk. If IRB-banks are well-capitalized or gain little from taking risks, then they will increase their market share and hold safe portfolios. As risk-taking incentives become more important, the optimal portfolio size of banks adopting intern rating systems will be increasingly constrained, and ultimately they may lose market share relative to banks using the standard approach. The regulator has only limited options to avoid the excessive adoption of internal rating systems.en_US
dc.language.isoengen_US
dc.publisherCenter for Financial Studies Frankfurt, Mainen_US
dc.relation.ispartofseriesCFS Working Paper 2004/25en_US
dc.subject.jelK13en_US
dc.subject.jelH41en_US
dc.subject.ddc330en_US
dc.subject.keywordBasel II Accord, risk-based capital, internal ratings based approach, bank capital, bank competition, risk-takingen_US
dc.titleThe Basel II Accord: Internal ratings and bank defferentiationen_US
dc.typeWorking Paperen_US
dc.identifier.ppn482908890en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:cfswop:200425-
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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