Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/217688 
Erscheinungsjahr: 
2019
Quellenangabe: 
[Journal:] Journal of Central Banking Theory and Practice [ISSN:] 2336-9205 [Volume:] 8 [Issue:] 3 [Publisher:] De Gruyter Open [Place:] Warsaw [Year:] 2019 [Pages:] 111-132
Verlag: 
De Gruyter Open, Warsaw
Zusammenfassung: 
The lack of portfolio granularity in terms of exposure has been shown to have important implications for the amount of a financial institution’s economic capital. Based on a numerical simulation model, we provide concrete examples of how granularity affects capital levels. We achieve this by following two simulation approaches, including a dynamic setup as a more realistic version of the analysis. We show that granularity has an indirect effect on the expected loss component. This could lead to significant changes in the competitive environment should banks consider adding a granularity adjustment to the estimated amount of capital and account for it in their pricing.
Schlagwörter: 
Finance
Regulation
Basel
Granularity
Banks
Capital
Concentration
Risk
Corporate Exposures.
JEL: 
E58
G21
G28
G32
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by-nc-nd Logo
Dokumentart: 
Article

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.