Sehr geehrte Damen und Herren!

Anbei übermitteln wir Ihnen die Einladung zu einem VOSTA-Freitagsseminar von Rainer Haselmann, Universität Frankfurt, mit dem Titel

“The Limits of Model-Based Regulation”.

Termin

Freitag, 01. April 2016, 11 Uhr

Ort 

Oesterreichische Nationalbank

Otto-Wagner-Platz 3, 1090 Wien

Veranstaltungssaal, EG

Abstract

In this paper, we investigate how the introduction of complex, model-based capital regulation

affected credit risk of financial institutions. Model-based regulation was meant to enhance

the stability of the financial sector by making capital charges more sensitive to risk. Exploiting

the staggered introduction of the model-based approach in Germany and the richness of our

loan-level data set, we show that (1) internal risk estimates employed for regulatory purposes systematically

underpredict actual default rates by 0.5 to 1 percentage points; (2) both default rates

and loss rates are higher for loans that were originated under the model-based approach, while

corresponding risk-weights are significantly lower; and (3) interest rates are higher for loans

originated under the model-based approach, suggesting that banks were aware of the higher risk

associated with these loans and priced them accordingly. Further, we document that large banks

benefited from the reform as they experienced a reduction in capital charges and consequently

expanded their lending at the expense of smaller banks that did not introduce the model-based

approach. Counter to the stated objectives, the introduction of complex regulation adversely

affected the credit risk of financial institutions. Overall, our results highlight the pitfalls of complex

regulation and suggest that simpler rules may increase the efficacy of financial regulation.

Um Ihre Rückmeldung ersuchen wir bis Mittwoch, 30. März 2016.

Wir freuen uns auf Ihre Teilnahme und stehen für Fragen gerne zur Verfügung.

Mit freundlichen Grüßen

Monja Pitzer

________________________

Oesterreichische Nationalbank

Abteilung für Öffentlichkeitsarbeit

Communications Division

Event-Management

Phone: +43-1-404 20-6620

Fax: +43-1-404 20-6697

E-Mail:  event-management@oenb.at