Pandemic lending: Micro and macro effects of model-based regulation

Arbeitspapier

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: SAFE Working Paper ; No. 374

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages ; Financial Institutions and Services: Government Policy and Regulation
• Thema: Model-based regulation ; Banks ; Supervision ; Lending ; Covid-19

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Fiordelisi, Franco ; Fusi, Giulia ; Maddaloni, Angela ; Marqués Ibáñez, David
• Ereignis: Veröffentlichung
• (wer): Leibniz Institute for Financial Research SAFE
• (wo): Frankfurt a. M.
• (wann): 2022

Weitere Informationen

• DOI: doi:10.2139/ssrn.4307670
• Handle: http://hdl.handle.net/10419/267518
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ