Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/244700 
Erscheinungsjahr: 
2021
Schriftenreihe/Nr.: 
LawFin Working Paper No. 20
Verlag: 
Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin), Frankfurt a. M.
Zusammenfassung: 
Using loan-level data from Germany, we investigate how the introduction of model-based capital regulation affected banks' ability to absorb shocks. The objective of this regulation was to enhance financial stability by making capital requirements responsive to asset risk. Our evidence suggests that banks 'optimized' model-based regulation to lower their capital requirements. Banks systematically underreported risk, with under reporting being more pronounced for banks with higher gains from it. Moreover, large banks benefitted from the regulation at the expense of smaller banks. Overall, our results suggest that sophisticated rules may have undesired effects if strategic misbehavior is difficult to detect.
Schlagwörter: 
capital regulation
internal ratings
complexity of regulation
Basel regulation
JEL: 
G01
G21
G28
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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