Loan Pricing Under Basel Capital Requirements

By Rafael Repullo, Javier Suárez. 2004

258 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/7cb6b39bc36372fe31219b1532c03f550b7e2584

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Citations in the corpus

Bank size and risk-taking under Basel II (2005, background): “2 Repullo and Suarez (2004) add an interesting quantitative analysis where they simulate the effects of Basel II on loan rates and quantify the social costs of bank failures needed to justify the actual IRB capital requirements.”
Liquidity, Risk Taking, and the Lender of Last Resort (2005, background): “14However, finding that k is at the minimum required by regulation is standard in both static and dynamic models of banking; see, for example, Repullo and Suarez (2004) and Repullo (2004).”
The Welfare Cost of Bank Capital Requirements (2008, background): “38 Repullo and Suarez (2004) also address this question using a different, complementary approach.”
The Procyclical Effects of Basel II (2008, background): “9% so as to maintain the long-run 33Repullo and Suarez (2004) perform this type of welfare analysis in a static setup where procyclicality is not a concern, but capital requirements imply a deadweigh loss due to the extra cost of equity financing.”
Search for Yield (2017, background): “However, Repullo and Suarez (2004) show that, for a model with insured deposits, limited liability implies that it is optimal for banks to specialize.”
Towards a measure of financial fragility (2006, background): “This is well known in the academic literature (Hellman et al. (2000), Repullo (2004), Repullo and Suarez (2004)).”
The Risk Sensitivity of Capital Requirements: Evidence from an International Sample of Large Banks* (2013, background): “Repullo and Suarez (2004) and Hakenes and Schnabel (2011) argue that banks eligible for the IRB approach are likely to focus on low-risk lending (because the more risk-sensitive IRB approach leads to lower capital requirements for these banks), while banks not eligible for the IRB approach are…”
Mapping capital and liquidity requirements to bank lending spreads (2010, unknown): “13 In the model of Repullo and Suarez (2004), banks charge a lending rate that maximizes the expected discounted value of the spread between the rate charged on loans and the cost of deposits.”