1 / 14

R. De Lisa, F. Poli, F. Vallascas Cagliari, 26 may 2007

IMPACT OF BASLE 2 ON ITALIAN BANK LOANS: CAPITAL REQUIREMENTS ASSESSMENT, EFFECTS OF COLLATERALS AND PRICING SIMULATIONS. R. De Lisa, F. Poli, F. Vallascas Cagliari, 26 may 2007. Literature review. Basel Committee’s QISs (last QIS 5 – June 2006).

pascale-cole
Download Presentation

R. De Lisa, F. Poli, F. Vallascas Cagliari, 26 may 2007

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. IMPACT OF BASLE 2 ON ITALIAN BANK LOANS: CAPITAL REQUIREMENTS ASSESSMENT, EFFECTS OF COLLATERALS AND PRICING SIMULATIONS R. De Lisa, F. Poli, F. Vallascas Cagliari, 26 may 2007

  2. Literature review • Basel Committee’s QISs (last QIS 5 – June 2006). • Bocchi & Lusignani (2004): sample of loan portfolios of 15 medium size banks (loans to firms with annual turnover < 50 miln Euros). • Gai & Rossi (2003): sample of 41.000 Tuscanian firms. • Fabi, Laviola, Marullo Reedtz (2003): • Altman & Sabato (2005): sample of 20.000 italian SMEs. • De Lisa, Marchesi, Vallascas (2006): estimation of capital requiments for Italian bank loan portfolios (loans to firms), effects of collaterals and pricing implications.

  3. Aims of the study • Determine capital requirements under Basle 2 (IRBF and Standardized) for bank loan portfolios disaggregated by type of borrower, type of loan and geographycal area • Estimate effects of personal guarantees and collaterals on capital requirements for …

  4. Italian bank loan portfolio’s mix

  5. Capital adequacy ratios (IRBF vs Standardized without guarantees and collaterals) IRBF STAND

  6. Main findings

  7. Impact of collaterals and guarantees on CARs for loans to firms (IRBF vs STAND) IRBF STAND

  8. Main findings

  9. Capital release and volume of additional loans to firms

  10. Impact on loan rates (Estimation without collaterals and personal guarantees)

  11. Impact on loan rates for all firms - IRBF - (with and without collaterals and personal guarantees)

  12. Main findings

  13. Suggestion for further research

  14. Methodology

More Related