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IdentificativoJacobsonLindéRoszbach04,
Tipo di record
Autore/iJacobson T ; Lindé J ; Roszbach K
Anno2004
TitoloCredit risk versus capital requirements under Basel II: are SME loans and retail credit really different?
paper
Altre InformazioniSveriges Riksbank, Working Papers Series, Stockholm, No. 162, April Web Download.
Keywords separare key1:key2
Abstract The new Basel II regulation contains a number of new regulatory features. Most importantly, internal ratings will be given a central role in the evaluation of the riskiness of bank loans. Another
novelty is that retail credit and loans to small and medium-sized enterprises will receive a special treatment in recognition of the fact that the riskiness of such exposure derives to a greater extent from idiosyncratic risk and much less from common factor risk. Much of the work done on the differences between the risk properties of retail, SME and corporate credit has been based on parameterized models of credit risk. In this paper we present new quantitative evidence on the implied credit loss distributions for two Swedish banks using a non-parametric Monte Carlo re-sampling method following Carey [1998]. Our results are based on a panel data set containing both loan and internal
rating data from the banks’ complete business loan portfolios over the period 1997-2000. We compute the credit loss distributions that each rating system implies and compare the required economic capital implied by these loss distributions with the regulatory capital under Basel II. By exploiting the fact
that a subset of all businesses in the sample is rated by both banks, we can generate loss distributions for SME, retail and corporate credit portfolios with a constant risk profile. Our findings suggest that a special treatment for retail credit and SME loans may not be justified. We also investigate if any alternative definition of SME’s and retail credit would warrant di?erent risk weight functions for these types of exposure. Our results indicate that it may be di?cult to find a simple risk weight function
that can account for the di?erences in portfolio risk properties between banks and asset types.
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