The Problem of Heterogeneity withinRisk Weights: Does Basel IV containthe Solution?

Q3 Decision Sciences

ACRN Journal of Finance and Risk Perspectives Pub Date : 2019-01-01 DOI:10.35944/jofrp.2019.8.1.012

C. Binder, O. Lehner

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Abstract

The article uses a bank’s credit data to study the impact of the Basel IV regulations on risk weight density (RWD). The analysis of the simulated data shows mixed results, as the improvement of risk weight heterogeneity is restricted to optimistically valued portfolios. Conservatively valued portfolios are likely to be confronted with an RWD decrease. However, within these portfolios, risk weight heterogeneity usually does not play an important role. Out of all the analysed Basel IV rules, the output floor clearly has the biggest influence on risk weight density, while the effect of the input floors is very limited within optimistically valued portfolios and is even eliminated by the removal of the scaling factor within conservatively valued portfolios. The change in RWD will also lead to a concurrent change in risk-weighted assets and therefore also in the level of eligible capital. The findings within the retail portfolio confirm those of the EBA study, which already suggested that Basel IV and especially the output floor will lead to a significant increase of risk capital (European Banking Authority, 2018).

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风险权重异质性问题:巴塞尔协议IV是否包含解决方案?

本文利用某银行的信贷数据，研究巴塞尔协议IV对风险权重密度(RWD)的影响。对模拟数据的分析结果喜忧参半，因为风险权重异质性的改善仅限于乐观估值的投资组合。保守估值的投资组合可能会面临RWD下降。然而，在这些投资组合中，风险权重异质性通常不起重要作用。在所有分析的巴塞尔IV规则中，输出下限显然对风险权重密度有最大的影响，而输入下限的影响在乐观估值的投资组合中非常有限，甚至在保守估值的投资组合中通过去除比例因子而消除。RWD的变化也将导致风险加权资产的同步变化，因此也会导致合格资本水平的变化。零售投资组合中的研究结果证实了EBA研究的结果，该研究已经表明，巴塞尔协议IV，特别是产出下限将导致风险资本的显着增加(欧洲银行管理局，2018)。

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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来源期刊

ACRN Journal of Finance and Risk Perspectives Business, Management and Accounting-Business and International Management

CiteScore

3.30

自引率

0.00%

发文量

审稿时长

14 weeks

期刊介绍： This journal is special because it aims to provide an outlet for inter-disciplinary and more in-depth research papers with various methodological approaches from the broad fields of Finance, Risk and Accounting. The target group of this journal are academics who want to get a better understanding of the interconnectedness of their fields by acknowledging the methods and theories used in closely related areas. The JOFRP thus aims to overcome the self-imposed paradigmatic boundaries and reflexive isomorphisms of the individual, typically rather narrow fields and invites new and combined perspectives from the fields of Finance, Risk and Accounting. Despite its methodological, topical and disciplinary openness - it does so with a strong focus on academic rigour and robustness. Articles can vary in size and approaches but all articles will be strictly double-blind peer reviewed and authors are frequently invited to discuss the ramifications of their articles in the global FRAP and SSFII conferences.