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The limits of model-based regulation

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Cited by:

  1. Kok, Christoffer & Müller, Carola & Ongena, Steven & Pancaro, Cosimo, 2023. "The disciplining effect of supervisory scrutiny in the EU-wide stress test," Journal of Financial Intermediation, Elsevier, vol. 53(C).
  2. Peter Grundke & Kamil Pliszka & Michael Tuchscherer, 2020. "Model and estimation risk in credit risk stress tests," Review of Quantitative Finance and Accounting, Springer, vol. 55(1), pages 163-199, July.
  3. Haufler, Andreas & Lülfesmann, Christoph, 2022. "Voluntary Equity, Project Risk, and Capital Requirements," Rationality and Competition Discussion Paper Series 357, CRC TRR 190 Rationality and Competition.
  4. Malovaná, Simona & Kolcunová, Dominika & Brož, Václav, 2019. "Does monetary policy influence banks’ risk weights under the internal ratings-based approach?," Economic Systems, Elsevier, vol. 43(2), pages 1-1.
  5. Abbassi, Puriya & Schmidt, Michael, 2018. "A comprehensive view on risk reporting: Evidence from supervisory data," Journal of Financial Intermediation, Elsevier, vol. 36(C), pages 74-85.
  6. Tirupam Goel & Isha Agarwal, 2021. "Limits of stress-test based bank regulation," BIS Working Papers 953, Bank for International Settlements.
  7. João Granja & Christian Leuz & Raghuram G. Rajan, 2022. "Going the Extra Mile: Distant Lending and Credit Cycles," Journal of Finance, American Finance Association, vol. 77(2), pages 1259-1324, April.
  8. Emilia Bonaccorsi di Patti & Roberto Felici & Federico Maria Signoretti, 2016. "Euro area significant banks: main differences and recent performance," Questioni di Economia e Finanza (Occasional Papers) 306, Bank of Italy, Economic Research and International Relations Area.
  9. Fiordelisi, Franco & Fusi, Giulia & Maddaloni, Angela & Marqués-Ibáñez, David, 2022. "Pandemic lending: micro and macro effects of model-based regulation," Working Paper Series 2760, European Central Bank.
  10. repec:zbw:bofrdp:2018_016 is not listed on IDEAS
  11. Kreiser, Swetlana & Kick, Thomas & Merkl, Christian & Ruprecht, Benedikt, 2016. "Banking and the Macroeconomy: A Micro-Macro Linkage," VfS Annual Conference 2016 (Augsburg): Demographic Change 145921, Verein für Socialpolitik / German Economic Association.
  12. Schlam, Carina & Woyand, Corinna, 2023. "The rollout of internal credit risk models: Implications for the novel partial-use philosophy," Discussion Papers 07/2023, Deutsche Bundesbank.
  13. Viral V Acharya & Robert Engle & Maximilian Jager & Sascha Steffen, 2024. "Why Did Bank Stocks Crash during COVID-19?," The Review of Financial Studies, Society for Financial Studies, vol. 37(9), pages 2627-2684.
  14. Martin F. Hellwig, 2018. "Valuation reports in the context of banking resolution: What are the challenges?," Discussion Paper Series of the Max Planck Institute for Research on Collective Goods 2018_06, Max Planck Institute for Research on Collective Goods.
  15. Bruno, Brunella & Marino, Immacolata & Nocera, Giacomo, 2023. "Internal ratings and bank opacity: Evidence from analysts’ forecasts," Journal of Financial Intermediation, Elsevier, vol. 56(C).
  16. Christian Eufinger & Andrej Gill, 2017. "Incentive-Based Capital Requirements," Management Science, INFORMS, vol. 63(12), pages 4101-4113, December.
  17. Barucci, Emilio & Milani, Carlo, 2018. "Do European banks manipulate risk weights?," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 47-57.
  18. Paul-Olivier Klein & Rima Turk-Ariss, 2022. "Bank capital and economic activity," Post-Print hal-03955630, HAL.
  19. Orphanides, Athanasios, 2014. "Are rules and boundaries sufficient to limit harmful central bank discretion? Lessons from Europe," Journal of Economic Dynamics and Control, Elsevier, vol. 49(C), pages 121-125.
  20. Dirk Schoenmaker & Nicolas Véron, . "European banking supervision- the first eighteen months," Blueprints, Bruegel, number 14868, June.
  21. Fiordelisi, Franco & Fusi, Giulia & Maddaloni, Angela & Marqués-Ibáñez, David, 2022. "Model-based regulation: lending in times of Covid," Research Bulletin, European Central Bank, vol. 102.
  22. Berg, Tobias & Haselmann, Rainer & Kick, Thomas & Schreiber, Sebastian, 2023. "Unintended consequences of QE: Real estate prices and financial stability," IMFS Working Paper Series 196, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
  23. Gehrig, Thomas & Iannino, Maria Chiara, 2021. "Did the Basel Process of capital regulation enhance the resiliency of European banks?," Journal of Financial Stability, Elsevier, vol. 55(C).
  24. Christoph Aymanns & J. Doyne Farmer & Alissa M. Keinniejenhuis & Thom Wetzer, 2017. "Models of Financial Stability and their Application in Stress Tests," Working Papers on Finance 1805, University of St. Gallen, School of Finance.
  25. Simona Malovana, 2017. "Banks' Capital Surplus and the Impact of Additional Capital Requirements," Working Papers 2017/8, Czech National Bank.
  26. Hughes, Joseph P. & Moon, Choon-Geol, 2022. "How bad is a bad loan? Distinguishing inherent credit risk from inefficient lending (Does the capital market price this difference?)," Journal of Economics and Business, Elsevier, vol. 120(C).
  27. Paul Pelzl & María Teresa, 2023. "Capital Regulations and the Management of Credit Commitments during Crisis Times," Review of Finance, European Finance Association, vol. 27(5), pages 1781-1821.
  28. Maier, Ulf, 2017. "Regulatory Competition In Capital Standards with Selection Effects among Banks," Rationality and Competition Discussion Paper Series 7, CRC TRR 190 Rationality and Competition.
  29. Rungporn Roengpitya & Nikola Tarashev & Kostas Tsatsaronis & Alan Villegas, 2017. "Bank business models: popularity and performance," BIS Working Papers 682, Bank for International Settlements.
  30. Benetton, Matteo & Eckley, Peter & Garbarino, Nicola & Kirwin, Liam & Latsi, Georgia, 2021. "Capital requirements and mortgage pricing: Evidence from Basel II," Journal of Financial Intermediation, Elsevier, vol. 48(C).
  31. Jorma J. Schäublin, 2022. "Swiss pension funds: funding ratio, discount rate, and asset allocation," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 158(1), pages 1-23, December.
  32. Bongaerts, Dion, 2014. "Alternatives for issuer-paid credit rating agencies," Working Paper Series 1703, European Central Bank.
  33. Jean-Edouard Colliard, 2019. "Strategic Selection of Risk Models and Bank Capital Regulation," Management Science, INFORMS, vol. 67(6), pages 2591-2606, June.
  34. Leitner, Yaron & Yilmaz, Bilge, 2019. "Regulating a model," Journal of Financial Economics, Elsevier, vol. 131(2), pages 251-268.
  35. Schäfer, Alexander, 2016. "A SIFI Badge for Banks in Europe: Reduction in Bail-Out Expectations or Monumental Heritage Protection?," VfS Annual Conference 2016 (Augsburg): Demographic Change 145754, Verein für Socialpolitik / German Economic Association.
  36. Cucinelli, Doriana & Battista, Maria Luisa Di & Marchese, Malvina & Nieri, Laura, 2018. "Credit risk in European banks: The bright side of the internal ratings based approach," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 213-229.
  37. Sophia Döme & Stefan Kerbl, 2017. "Comparability of Basel risk weights in the EU banking sector," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 34, pages 68-89.
  38. Bo Becker & Marcus M Opp & Farzad Saidi, 2022. "Regulatory Forbearance in the U.S. Insurance Industry: The Effects of Removing Capital Requirements for an Asset Class," The Review of Financial Studies, Society for Financial Studies, vol. 35(12), pages 5438-5482.
  39. Yaron Leitner & Bilge Yilmaz, 2016. "Regulating A Model," Working Papers 16-31, Federal Reserve Bank of Philadelphia.
  40. Aikman, David & Haldane, Andrew & Hinterschweiger, Marc & Kapadia, Sujit, 2018. "Rethinking financial stability," Bank of England working papers 712, Bank of England.
  41. Marco Pagano, 2014. "Lessons from the European Financial Crisis," CSEF Working Papers 370, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  42. John B. Taylor & Volker Wieland, 2016. "Finding the Equilibrium Real Interest Rate in a Fog of Policy Deviations," Business Economics, Palgrave Macmillan;National Association for Business Economics, vol. 51(3), pages 147-154, July.
  43. Böhnke, Victoria & Ongena, Steven & Paraschiv, Florentina & Reite, Endre J., 2023. "Back to the roots of internal credit risk models: Does risk explain why banks' risk-weighted asset levels converge over time?," Journal of Banking & Finance, Elsevier, vol. 156(C).
  44. Guettler, Andre & Naeem, Mahvish & Norden, Lars & Van Doornik, Bernardus, 2024. "Pre-publication revisions of bank financial statements: A novel way to monitor banks?," Journal of Financial Intermediation, Elsevier, vol. 58(C).
  45. Berg, Tobias & Haselmann, Rainer & Kick, Thomas & Schreiber, Sebastian, 2022. "Unintended side effects of unconventional monetary policy," LawFin Working Paper Series 27, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).
  46. Beaupain, Renaud & Braouezec, Yann, 2024. "International banking regulation and Tier 1 capital ratios. On the robustness of the critical average risk weight framework," International Review of Financial Analysis, Elsevier, vol. 91(C).
  47. Efing, Matthias, 2015. "Arbitraging the Basel securitization framework: Evidence from German ABS investment," Discussion Papers 40/2015, Deutsche Bundesbank.
  48. Haufler, Andreas & Maier, Ulf, 2019. "Regulatory competition in capital standards: a ‘race to the top’ result," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 180-194.
  49. Eccles, Peter & Grout, Paul & Zalewska, Anna & Siciliani, Paolo, 2023. "Open banking, shadow banking and regulation," Bank of England working papers 1039, Bank of England.
  50. Merikas, Andreas & Merika, Anna & Penikas, Henry I. & Surkov, Mikhail A., 2020. "The Basel II internal ratings based (IRB) model and the transition impact on the listed Greek banks," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
  51. Allahrakha, Meraj & Cetina, Jill & Munyan, Benjamin, 2018. "Do higher capital standards always reduce bank risk? The impact of the Basel leverage ratio on the U.S. triparty repo market," Journal of Financial Intermediation, Elsevier, vol. 34(C), pages 3-16.
  52. Hansen, Lars Peter, 2022. "Central banking challenges posed by uncertain climate change and natural disasters," Journal of Monetary Economics, Elsevier, vol. 125(C), pages 1-15.
  53. Martin Hellwig, 2016. "“Total Assets” versus “Risk Weighted Assets”: Does it matter for MREL requirements?," Discussion Paper Series of the Max Planck Institute for Research on Collective Goods 2016_12, Max Planck Institute for Research on Collective Goods.
  54. Klein, Paul-Olivier & Turk-Ariss, Rima, 2022. "Bank capital and economic activity," Journal of Financial Stability, Elsevier, vol. 62(C).
  55. Mérő, Katalin, 2018. "A kockázatalapú bankszabályozás előretörése és visszaszorulása - az ösztönzési struktúrák szerepe [The emergence and decline of risk-based bank regulation the role of incentive structures]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(10), pages 981-1005.
  56. Haselmann, Rainer & Singla, Shikhar & Vig, Vikrant, 2022. "Supranational supervision," LawFin Working Paper Series 50, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).
  57. Bednarek, Peter & Dinger, Valeriya & von Westernhagen, Natalja, 2015. "Fundamentals matter: Idiosyncratic shocks and interbank relations," Discussion Papers 44/2015, Deutsche Bundesbank.
  58. Hakenes, Hendrik & Schnabel, Isabel, 2013. "Regulatory Capture by Sophistication," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79991, Verein für Socialpolitik / German Economic Association.
  59. Eufinger, Christian & Gill, Andrej, 2016. "Incentive-based capital requirements," SAFE Working Paper Series 9 [rev.], Leibniz Institute for Financial Research SAFE, revised 2016.
  60. Boot, Arnoud & Hoffmann, Peter & Laeven, Luc & Ratnovski, Lev, 2021. "Fintech: what’s old, what’s new?," Journal of Financial Stability, Elsevier, vol. 53(C).
  61. Pérez Montes, Carlos & Trucharte Artigas, Carlos & Cristófoli, María Elizabeth & Lavín San Segundo, Nadia, 2018. "The impact of the IRB approach on the risk weights of European banks," Journal of Financial Stability, Elsevier, vol. 39(C), pages 147-166.
  62. Ingo Fender & Ulf Lewrick, 2015. "Calibrating the leverage ratio," BIS Quarterly Review, Bank for International Settlements, December.
  63. Goel, Tirupam & Lewrick, Ulf & Tarashev, Nikola, 2020. "Bank capital allocation under multiple constraints," Journal of Financial Intermediation, Elsevier, vol. 44(C).
  64. Stefan Kerbl & Katharina Steiner, 2020. "Austrian banks’ lending risk appetite in times of expansive monetary policy and tightening capital regulation," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 39, pages 89-109.
  65. Gopalakrishnan, Balagopal & Jacob, Joshy & Mohapatra, Sanket, 2021. "Risk-sensitive Basel regulations and firms’ access to credit: Direct and indirect effects," Journal of Banking & Finance, Elsevier, vol. 126(C).
  66. Henri Fraisse & Matthias Laporte, 2021. "Return on Investment on AI: The Case of Capital Requirement," Working papers 809, Banque de France.
  67. Wei, Jianxing & Xu, Tong, 2024. "Banking supervision with loopholes," European Economic Review, Elsevier, vol. 161(C).
  68. Stepankova, Barbora & Teply, Petr, 2023. "Consistency of banks' internal probability of default estimates: Empirical evidence from the COVID-19 crisis," Journal of Banking & Finance, Elsevier, vol. 154(C).
  69. Boermans, Martijn A. & van der Kroft, Bram, 2024. "Capital regulation induced reaching for systematic yield: Financial instability through fire sales," Journal of Banking & Finance, Elsevier, vol. 158(C).
  70. Dal Borgo, Mariela, 2022. "Internal models for deposits: Effects on banks' capital and interest rate risk of assets," Journal of Banking & Finance, Elsevier, vol. 135(C).
  71. Bruno, Brunella & Nocera, Giacomo & Resti, Andrea, 2017. "Are risk-based capital requirements detrimental to corporate lending? Evidence from Europe," CEPR Discussion Papers 12007, C.E.P.R. Discussion Papers.
  72. Haselmann, Rainer & Singla, Shikhar & Vig, Vikrant, 2022. "Supranational supervision," LawFin Working Paper Series 46, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).
  73. Daniela Venanzi, 2021. "Large Is Riskier: The Case of European Commercial Banks," International Journal of Business and Management, Canadian Center of Science and Education, vol. 16(1), pages 1-19, August.
  74. Fraisse, Henri & Laporte, Matthias, 2022. "Return on investment on artificial intelligence: The case of bank capital requirement," Journal of Banking & Finance, Elsevier, vol. 138(C).
  75. Beltratti, Andrea & Paladino, Giovanna, 2016. "Basel II and regulatory arbitrage. Evidence from financial crises," Journal of Empirical Finance, Elsevier, vol. 39(PB), pages 180-196.
  76. Katalin Mérő, 2021. "The ascent and descent of banks’ risk-based capital regulation," Journal of Banking Regulation, Palgrave Macmillan, vol. 22(4), pages 308-318, December.
  77. Marisa Basten & Antonio Sánchez Serrano, 2019. "European banks after the global financial crisis: a new landscape," Journal of Banking Regulation, Palgrave Macmillan, vol. 20(1), pages 51-73, March.
  78. Niepmann, Friederike & Stebunovs, Viktors, 2024. "Modeling your stress away," Journal of Banking & Finance, Elsevier, vol. 158(C).
  79. Domenica Tropeano, 2020. "Does the BRRD affect the retail banking business model in the Euro area?," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 49(2), July.
  80. Behn, Markus & Couaillier, Cyril, 2023. "Same same but different: credit risk provisioning under IFRS 9," Working Paper Series 2841, European Central Bank.
  81. Bittner, Christian & Fecht, Falko & Georg, Co-Pierre, 2021. "Contagious zombies," Discussion Papers 15/2021, Deutsche Bundesbank.
  82. Bednarek, Peter & Dinger, Valeriya & te Kaat, Daniel Marcel & von Westernhagen, Natalja, 2020. "Central bank funding and credit risk-taking," Discussion Papers 36/2020, Deutsche Bundesbank.
  83. Bischof, Jannis & Haselmann, Rainer & Kohl, Frederik & Schlueter, Oliver, 2022. "Limitations of implementing an expected credit loss model," LawFin Working Paper Series 48, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).
  84. Hodbod, Alexander & Huber, Stefanie J. & Vasilev, Konstantin, 2020. "Sectoral risk-weights and macroprudential policy," Journal of Banking & Finance, Elsevier, vol. 112(C).
  85. Hans Degryse & Sanja Jakovljević & Steven Ongena, 2015. "A Review of Empirical Research on the Design and Impact of Regulation in the Banking Sector," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 423-443, December.
  86. Becker, Bo & Opp, Marcus & Saidi, Farzad, 2020. "Regulatory Forbearance in the U.S. Insurance Industry: The Effects of Eliminating Capital Requirements," CEPR Discussion Papers 14373, C.E.P.R. Discussion Papers.
  87. He, Dongwei & Wu, Yifan & Wang, Yifan & Xing, Xueyan, 2023. "Prudential regulation and bank performance: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
  88. Marco Gross & Javier Población, 2019. "Implications of Model Uncertainty for Bank Stress Testing," Journal of Financial Services Research, Springer;Western Finance Association, vol. 55(1), pages 31-58, February.
  89. Sen, Ishita & Humphry, David, 2018. "Capital regulation and product market outcomes," Bank of England working papers 715, Bank of England.
  90. Gehrig, Thomas & Iannino, Maria Chiara, 2021. "Did the Basel Process of capital regulation enhance the resiliency of European banks?," Journal of Financial Stability, Elsevier, vol. 55(C).
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