Format:
1 Online-Ressource (circa 49 Seiten)
,
Illustrationen
ISBN:
9781484302958
Series Statement:
IMF working paper WP/17, 137
Content:
Concerns about excessive variability in bank risk weights have prompted their review by regulators. This paper provides prima facie evidence on the extent of risk weight heterogeneity across broad asset classes and by country of counterparty for major banks in the European Union using internal models. It also finds that corporate risk weights are sensitive to the riskiness of an average representative firm, but not to a market indicator of a firm's probablity of default. Under plausible yet severe hypothetical scenarios for harmonized risk weights, counterfactual capital ratios would decline significantly for some banks, but they would not experience a shortfall relative to Basel III's minimum requirements. This, however, does not preclude falling short of meeting additional national supervisory capital requirements
Additional Edition:
Erscheint auch als Druck-Ausgabe Turk, Rima Heterogeneity of Bank Risk Weights in the EU: Evidence by Asset Class and Country of Counterparty Exposure Washington, D.C. : International Monetary Fund, 2017 ISBN 9781484302958
Language:
English
Keywords:
Arbeitspapier
;
Graue Literatur
DOI:
10.5089/9781484302958.001
