Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/148276
Authors: 
Dietsch, Michel
Düllmann, Klaus
Fraisse, Henri
Koziol, Philipp
Ott, Christine
Year of Publication: 
2016
Series/Report no.: 
Discussion Paper, Deutsche Bundesbank 45/2016
Abstract: 
Using a unique and comprehensive data set on the two largest economies of the Eurozone - France and Germany - this paper first proceeds to a computation of the Gordy formula relaxing the ad hoc sizedependent constraints of the Basel formulas. Our study contributes to Article 501 of the Capital Requirements Regulation (CRR) requesting analysis of the consistency of own funds requirements with the riskiness of SME. In both the French and the German sample, results suggest that the relative differences between the capital requirements for large corporates and those for SME (in other words the capital relief for SME) are lower in the Basel III framework than implied by empirically estimated asset correlations. Results show that the SME Supporting Factor in the CRR/CRD IV is able to compensate the difference between estimated and CRR/CRD IV capital requirements for loans in the corporate portfolio. However, no empirical evidence is found supporting the € 1.5 mln SME threshold currently included in Article 501 (CRR).
Subjects: 
SME finance
Asset correlation
Basel III
CRR/CRD IV
Asymptotic Single Risk factor Model
SME Supporting Factor
JEL: 
C13
G21
G33
ISBN: 
978-3-95729-318-3
Document Type: 
Working Paper

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