Coverart for item
The Resource Heterogeneity of Bank Risk Weights in the EU : Evidence by Asset Class and Country of Counterparty Exposure, Rima Turk-Ariss

Heterogeneity of Bank Risk Weights in the EU : Evidence by Asset Class and Country of Counterparty Exposure, Rima Turk-Ariss

Label
Heterogeneity of Bank Risk Weights in the EU : Evidence by Asset Class and Country of Counterparty Exposure
Title
Heterogeneity of Bank Risk Weights in the EU
Title remainder
Evidence by Asset Class and Country of Counterparty Exposure
Statement of responsibility
Rima Turk-Ariss
Creator
Author
Subject
Genre
Language
eng
Summary
Concerns about excessive variability in bank risk weights have prompted their review by regulators. This paper provides prima facie evidence on the extent of risk weight heterogeneity across broad asset classes and by country of counterparty for major banks in the European Union using internal models. It also finds that corporate risk weights are sensitive to the riskiness of an average representative firm, but not to a market indicator of a firm's probablity of default. Under plausible yet severe hypothetical scenarios for harmonized risk weights, counterfactual capital ratios would decline significantly for some banks, but they would not experience a shortfall relative to Basel III's minimum requirements. This, however, does not preclude falling short of meeting additional national supervisory capital requirements
Member of
Cataloging source
CUY
http://bibfra.me/vocab/lite/collectionName
IMF eLibrary
http://library.link/vocab/creatorName
Turk Ariss, Rima
Government publication
international or intergovernmental publication
Index
no index present
Literary form
non fiction
Nature of contents
dictionaries
Series statement
IMF Working Paper,
Series volume
WP/17/137
Label
Heterogeneity of Bank Risk Weights in the EU : Evidence by Asset Class and Country of Counterparty Exposure, Rima Turk-Ariss
Instantiates
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Control code
999707312
Extent
1 online resource (48 pages)
Form of item
online
Isbn
9781484302958
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.5089/9781484302958.001
Specific material designation
remote
System control number
(OCoLC)999707312
Label
Heterogeneity of Bank Risk Weights in the EU : Evidence by Asset Class and Country of Counterparty Exposure, Rima Turk-Ariss
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Control code
999707312
Extent
1 online resource (48 pages)
Form of item
online
Isbn
9781484302958
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.5089/9781484302958.001
Specific material designation
remote
System control number
(OCoLC)999707312

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