 SME Credit Access After Basel III. Does Size (and Quality) Matter?Pietro Vozzella () and
Giampaolo Gabbi
Chapter 8 in Access to Bank Credit and SME Financing, 2017, pp 203-224 from Palgrave Macmillan Abstract: Abstract We address the estimation of asset correlation for credit risk assessment in the Italian market and its impact on SME credit access. The empirical evidence demonstrates that assumptions underlying the regulatory capital formula are not substantiated, and benefits received from the respect of granularity could be reduced or even removed. This outcome could depend on the positive relationship between asset correlation and default probability, the negative relationship between asset correlation and size and the positive link between default correlation and default probability. The regulatory impact is that the goal of levelling the playing field could fail, a regulatory arbitrage opportunity could be created and certain firms, clustered by size and industry, could suffer from the credit crunch. Keywords: Credit risk; Default correlation; Asset correlation; Capital adequacy (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:pal:pmschp:978-3-319-41363-1_8 Ordering information: This item can be ordered from DOI: 10.1007/978-3-319-41363-1_8 Access Statistics for this chapter More chapters in Palgrave Macmillan Studies in Banking and Financial Institutions from Palgrave Macmillan |
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