GIROD , Alexandra

We analyze the impact of the new Internal Rate Based (IRB) Basel II capital requirements on the credit portfolio of banks and on their incentive to take risk. We show that for some initially risky banks, there is an incentive bias to finance a riskier credit bucket when they shift from Basel I to IRB Basel II capital requirements. Basel II bank...

We investigate the impact the risk sensitive regulatory ratio may have on banks' risk taking behaviours during the business cycle. We show that the risk sensitivity of capital requirements introduce by Basel II adds either an "equity surplus" or an "equity deficit" on a bank that owns a fixed capital endowment and a constant leverage ratio....

We investigate the impact the risk sensitive regulatory ratio may have on banks' risk taking behaviours according to two aspects: potential effects induced by the implementation of a risk sensitivity ratio and cyclical impacts that could affect risk taking behaviour. We show that the risk sensitivity of capital requirements introduce by Basel...