Risk-based capital requirements for mortgage loans

被引：78

作者：

Calem, PS ^{[1
]}

LaCour-Little, M

机构：

[1] Fed Reserve Syst, Board Governors, Div Res & Stat, Washington, DC 20551 USA

[2] Wells Fargo Home Mortgage Inc, San Francisco, CA USA

[3] Washington Univ, St Louis, MO 63130 USA

来源：

JOURNAL OF BANKING & FINANCE | 2004年 / 28卷 / 03期

关键词：

capital; mortgage; credit risk;

D O I：

10.1016/S0378-4266(03)00039-6

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We contribute to the debate over the reform of the Basel Accord by developing risk-based capital requirements for mortgage loans held in portfolio by financial intermediaries. Our approach employs simulation of both economic variables that affect default incidence and conditional loss probability distributions. Results indicate that appropriate capital charges for credit risk vary substantially with loan characteristics and portfolio geographic diversification. Hence, rules that offer little risk differentiation, including the current Basel I regime and "standardized" approach proposed in Basel II result in significant divergence between regulatory and economic capital. These results highlight the incentive problems inherent in simplified methods of capital regulation. (C) 2003 Elsevier B.V. All rights reserved.

引用

页码：647 / 672

页数：26

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