Loan Pricing under Basel Capital Requirements

摘要: Abstract We analyze the loan pricing implications of reform bank capital regulation known as Basel II. consider a perfectly competitive market for business loans where, in model underlying internal ratings based (IRB) approach II, single risk factor explains correlation defaults across firms. Our equation implies that low firms will achieve reductions their rates by borrowing from banks adopting IRB approach, while high avoid increases adopt less risk-sensitive standardized also show only very social cost failure might justify proposed charges, partly because net interest income performing is not counted buffer against credit losses. A correction requirements proposed.