IDEAS home Printed from https://ideas.repec.org/a/bpj/pewipo/v18y2017i1p86-96n5.html
   My bibliography  Save this article

Rolle rückwärts zugunsten der Bankenindustrie – Die neuen Basler Regelungen für das Zinsänderungsrisiko im Anlagebuch

Author

Listed:
  • Pfingsten Andreas

    (Westfälische Wilhelms-Universität MünsterInstitut für Kreditwesen48143 MünsterUniversitätsstr. 14–16Germany)

  • Claußen Catharina

    (Westfälische Wilhelms-Universität MünsterInstitut für Kreditwesen48143 MünsterUniversitätsstr. 14–16Germany)

  • Maidl Christoph

    (Westfälische Wilhelms-Universität MünsterInstitut für Kreditwesen48143 MünsterUniversitätsstr. 14–16Germany)

  • Woyand Corinna

    (Westfälische Wilhelms-Universität MünsterInstitut für Kreditwesen48143 MünsterUniversitätsstr. 14–16Germany)

Abstract

Despite lasting low interest rates and correspondingly increased interest rate risk in the banking book, the revised Basel regulation published in April 2016 still does not impose capital requirements according to pillar 1 for this risk category. This ruling is not fully compatible with the objectives put forward in the preceding consultation phase and subject to criticism. The authors describe the altered regulatory standards and infer underlying motives. They point out weaknesses of the new regulation and discuss consequences for single institutions as well as for the financial system altogether.

Suggested Citation

  • Pfingsten Andreas & Claußen Catharina & Maidl Christoph & Woyand Corinna, 2017. "Rolle rückwärts zugunsten der Bankenindustrie – Die neuen Basler Regelungen für das Zinsänderungsrisiko im Anlagebuch," Perspektiven der Wirtschaftspolitik, De Gruyter, vol. 18(1), pages 86-96, April.
    • Handle: RePEc:bpj:pewipo:v:18:y:2017:i:1:p:86-96:n:5
    DOI: 10.1515/pwp-2017-0005
    as

    Download full text from publisher

    File URL: https://doi.org/10.1515/pwp-2017-0005
    Download Restriction: For access to full text, subscription to the journal or payment for the individual article is required.
    File URL: https://libkey.io/10.1515/pwp-2017-0005?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Isabel Schnabel, 2014. "Das europäische Bankensystem: Bestandsaufnahme und Herausforderungen," Wirtschaftsdienst, Springer;ZBW - Leibniz Information Centre for Economics, vol. 94(1), pages 6-10, February.
    2. Catharina Claußen & Christoph Maidl & Andreas Pfingsten & Corinna Woyand, 2016. "Zinsänderungsrisiken von Kreditinstituten im aktuellen Niedrigzinsumfeld," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 85(1), pages 45-64.
    3. anonymous, 1998. "Guide to portfolio risk-management design for CDFIs," Banking and Community Perspectives, Federal Reserve Bank of Dallas, issue 4, pages 6-8.
    4. Mathias Dewatripont & Jean Tirole, 1994. "The prudential regulation of banks," ULB Institutional Repository 2013/9539, ULB -- Universite Libre de Bruxelles.
    5. Froot, Kenneth A. & Stein, Jeremy C., 1998. "Risk management, capital budgeting, and capital structure policy for financial institutions: an integrated approach," Journal of Financial Economics, Elsevier, vol. 47(1), pages 55-82, January.
    6. Jay B. Morrison & David H. Pyle, 1981. "Interest Rate Risk and the Regulation of Financial Institutions," NBER Chapters, in: Risk and Capital Adequacy in Commercial Banks, pages 285-314, National Bureau of Economic Research, Inc.
    7. anonymous, 1998. "Financial markets conference explores risk management," Economics Update, Federal Reserve Bank of Atlanta, issue Apr, pages 1-2.
    8. Sherman J. Maisel, 1981. "Risk and Capital Adequacy in Commercial Banks," NBER Books, National Bureau of Economic Research, Inc, number mais81-1.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Swamy, Vighneswara, 2014. "Modelling the Impact of New Capital Regulations on Bank Profitability," MPRA Paper 58323, University Library of Munich, Germany.
    2. Esposito, Lucia & Nobili, Andrea & Ropele, Tiziano, 2015. "The management of interest rate risk during the crisis: Evidence from Italian banks," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 486-504.
    3. Jean-Charles Rochet, 2004. "Rebalancing the three pillars of Basel II," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 7-21.
    4. Loriana Pelizzon & Stephen Schaefer, 2005. "Pillar 1 vs. Pillar 2 Under Risk Management," NBER Working Papers 11666, National Bureau of Economic Research, Inc.
    5. Ludwig Hausse & Martin Rohleder & Marco Wilkens, 2016. "Systemic interest rate and market risk at US banks," Journal of Business Economics, Springer, vol. 86(8), pages 933-961, November.
    6. Pería, María Soledad Martínez, 2004. "Comment," LSE Research Online Documents on Economics 123090, London School of Economics and Political Science, LSE Library.
    7. Loriana Pelizzon & Stephen Schaefer, 2007. "Pillar 1 versus Pillar 2 under Risk Management," NBER Chapters, in: The Risks of Financial Institutions, pages 377-409, National Bureau of Economic Research, Inc.
    8. Yu-Hsiu Lin & Len-Kuo Hu, 2015. "The cyclicality of bank regulation in a general economic framework," Applied Economics, Taylor & Francis Journals, vol. 47(53), pages 5791-5804, November.
    9. repec:onb:oenbwp:y::i:48:b:1 is not listed on IDEAS
    10. J. Christina Wang, 2003. "Merger-related cost savings in the production of bank services," Working Papers 03-8, Federal Reserve Bank of Boston.
    11. Kern, Markus & Rudolph, Bernd, 2001. "Comparative analysis of alternative credit risk models: An application on German middle market loan portfolios," CFS Working Paper Series 2001/03, Center for Financial Studies (CFS).
    12. Ernest Dautovic, 2019. "Has Regulatory Capital Made Banks Safer? Skin in the Game vs Moral Hazard," Cahiers de Recherches Economiques du Département d'économie 19.03, Université de Lausanne, Faculté des HEC, Département d’économie.
    13. Urs W. Birchler & Diana Hancock, 2003. "What does the yield on subordinated bank debt measure?," Finance and Economics Discussion Series 2004-19, Board of Governors of the Federal Reserve System (U.S.).
    14. Kollmann, Robert & Enders, Zeno & Müller, Gernot J., 2011. "Global banking and international business cycles," European Economic Review, Elsevier, vol. 55(3), pages 407-426, April.
    15. Arnold, M., 2017. "The impact of central clearing on banks’ lending discipline," Journal of Financial Markets, Elsevier, vol. 36(C), pages 91-114.
    16. Michael Gavin & Ricardo Hausmann, 1996. "Las raíces de las crisis bancarias: contexto macroeconómico," Research Department Publications 4027, Inter-American Development Bank, Research Department.
    17. Stijn Claessens & M. Ayhan Kose, 2013. "Financial Crises: Explanations, Types and Implications," CAMA Working Papers 2013-06, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    18. Benbouzid, Nadia & Leonida, Leone & Mallick, Sushanta K., 2018. "The non-monotonic impact of bank size on their default swap spreads: Cross-country evidence," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 226-240.
    19. Fidrmuc, Jarko & Lind, Ronja, 2020. "Macroeconomic impact of Basel III: Evidence from a meta-analysis," Journal of Banking & Finance, Elsevier, vol. 112(C).
    20. Björn Häckel, 2010. "Risikoadjustierte Wertbeiträge zur ex ante Entscheidungsunterstützung: Ein axiomatischer Ansatz," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 21(1), pages 81-108, June.
    21. Ioannidou, V. & de Dreu, J., 2006. "The Impact of Explicit Deposit Insurance on Market Discipline," Other publications TiSEM 693cfa2c-76f1-4304-872f-f, Tilburg University, School of Economics and Management.

    More about this item

    Keywords

    Bank; Regulierung; Zinsänderungsrisiko; Eigenkapital; Basler Ausschuss;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bpj:pewipo:v:18:y:2017:i:1:p:86-96:n:5. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.degruyter.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.