De Bâle 1 à Bâle 2. Effets sur le marché du crédit

Patrick Artus

Revue économique, 2005, vol. 56, issue 1, 77-97

Abstract: We analyse the effects of the introduction of capital requirement ratios for banks which depend first on the amount of credit supplied (according to the Basel 1 rules), then also on the probability of default of borrowers (following the future Basel 2 rules). We use a theoretical model of the bank credit market equilibrium, with two types of borrowers who differ by the degree of risk of the projects they invest in, and who face a cost of default, and with a bank facing a rule of capital requirement (of the Basel 1 or Basel 2 type). The borrowers and the bank maximize the expected return on their capital. We examine the effects on interest rates, on the amount of credit distributed, on the probabilities of default and on the financial strength of banks of the introduction of the two types of bank regulation.

Date: 2005
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