Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/147520
Authors: 
Haselmann, Rainer
Wahrenburg, Mark
Year of Publication: 
2016
Series/Report no.: 
White Paper Series 43
Abstract: 
We provide an assessment of the Basel Committee on Banking Supervision (BCBS) proposal to restrict the internal ratings-based approach on bank risk and to introduce risk-weighted asset floors. If well enforced, risk-sensitive capital regulation results in a more efficient credit allocation compared to the standard approach. Thus, the internal ratings-based approach should be maintained. Further, the use of internal ratings-based output floors potentially results in unintended negative side effects. Input floors are likely a valuable tool to achieve risk-weighted assets comparability. Finally, the proposed measures have a potential detrimental impact for European banks as compared to others.
Subjects: 
internal rating models
floors
banking regulation
BCBS
Document Type: 
Working Paper

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