Specialisation in Mortgage Risk Under Basel II

M. Benetton, P. Eckley, Nicola Garbarino, Liam Kirwin, Georgia Latsi
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引用次数: 21

Abstract

Since Basel II was introduced in 2008, two approaches to calculating bank capital requirements have co-existed: lenders’ internal models, and a less risk-sensitive standardised approach. Using a unique dataset covering 7 million UK mortgages for 2005–15, and novel identification, we provide empirical evidence that the differences between these approaches cause lenders to specialise. This leads to systemic concentration of high-risk mortgages in lenders with less sophisticated risk management. Our results have broad implications for the design of the international bank capital framework.
根据巴塞尔协议II,抵押贷款风险专业化
自2008年巴塞尔协议II出台以来,两种计算银行资本要求的方法并存:银行的内部模型,以及风险敏感度较低的标准化方法。使用一个独特的数据集覆盖700万英国抵押贷款2005 - 2015年,和新颖的识别,我们提供的经验证据表明,这些方法之间的差异导致贷款人专业化。这导致高风险抵押贷款系统性地集中在风险管理不那么复杂的贷款机构手中。我们的研究结果对国际银行资本框架的设计具有广泛的意义。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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