TY  - UNPD
A1  - Haselmann, Rainer
A1  - Wahrenburg, Mark
T1  - Banks' internal rating models - time for a change? The system of floors as proposed by the Basel Committee
T2  - SAFE white paper series, 43
N2  - We provide an assessment of the Basel Committee on Banking Supervision (BCBS) proposal to restrict the internal ratings-based approach on bank risk and to introduce risk-weighted asset floors. If well enforced, risk-sensitive capital regulation results in a more efficient credit allocation compared to the standard approach. Thus, the internal ratings-based approach should be maintained. Further, the use of internal ratings-based output floors potentially results in unintended negative side effects. Input floors are likely a valuable tool to achieve risk-weighted assets comparability. Finally, the proposed measures have a potential detrimental impact for European banks as compared to others.
T3  - SAFE white paper series - 43 
KW  - internal rating models
KW  - floors
KW  - banking regulation
KW  - BCBS
Y1  - 2017
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/42905
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-429052
UR  - http://safe-frankfurt.de/de/policy-center/publikationen/detailsview/publicationname/banks039-internal-rating-models-time-for-a-change-the-system-of-floors-as-proposed-by-the-basel-committee.html
PB  - SAFE
CY  - Frankfurt am Main
ER  -