TY  - UNPD
A1  - Fiordelisi, Franco
A1  - Fusi, Giulia
A1  - Maddaloni, Angela
A1  - Marqués Ibáñez, David
T1  - Pandemic lending: micro and macro effects of model-based regulation
T2  - SAFE working paper ; No. 374
N2  - When the COVID-19 crisis struck, banks using internal-rating based (IRB) models quickly recognized the increase in risk and reduced lending more than banks using a standardized approach. This effect is not driven by borrowers’ quality or by banks in countries with credit booms before the pandemic. The higher risk sensitivity of IRB models does not always result in lower credit provision when risk intensifies. Certain features of the IRB models – the use of a downturn Loss Given Default parameter – can increase banks’ resilience and preserve their intermediation capacity also during downturns. Affected borrowers were not able to fully insulate and decreased corporate investments.
T3  - SAFE working paper - 374 
KW  - Model-based regulation
KW  - Banks
KW  - Supervision
KW  - Lending
KW  - COVID-19
Y1  - 2022
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/70118
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-701187
UR  - https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4307670
IS  - December 2022
PB  - SAFE
CY  - Frankfurt am Main
ER  -