TY  - UNPD
A1  - Feess, Eberhard
A1  - Hege, Ulrich
T1  - The Basel II accord : internal ratings and bank differentiation
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2004,25
N2  - The Basel Committee plans to differentiate risk-adjusted capital requirements between banks regulated under the internal ratings based (IRB) approach and banks under the standard approach. We investigate the consequences for the lending capacity and the failure risk of banks in a model with endogenous interest rates. The optimal regulatory response depends on the banks' inclination to increase their portfolio risk. If IRB-banks are well-capitalized or gain little from taking risks, then they will increase their market share and hold safe portfolios. As risk-taking incentives become more important, the optimal portfolio size of banks adopting intern rating systems will be increasingly constrained, and ultimately they may lose market share relative to banks using the standard approach. The regulator has only limited options to avoid the excessive adoption of internal rating systems. JEL Klassifikation: K13, H41.
T3  - CFS working paper series - 2004, 25 
KW  - Basel II Accord
KW  - risk-based capital
KW  - internal ratings based approach
KW  - bank capital
KW  - bank competition
KW  - risk-taking
KW  - Basler Eigenkapitalvereinbarung , 2001
Y1  - 2004
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4417
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-10769
IS  - December 2004
ER  -