Bâle II, Réallocation des Portefeuilles de Crédits et Incitation à la Prise de Risque: une Application au Cas des Pays Emergents d'Asie du Sud-est

Olivier Bruno and Alexandra Girod ()
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Alexandra Girod: GREDEG - Groupe de Recherche en Droit, Economie et Gestion - UNS - Université Nice Sophia Antipolis (1965 - 2019) - CNRS - Centre National de la Recherche Scientifique

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Abstract: We analyze the impact of the new Internal Rate Based (IRB) Basel II capital requirements on the credit portfolio of banks and on their incentive to take risk. We show that for some initially risky banks, there is an incentive bias to finance a riskier credit bucket when they shift from Basel I to IRB Basel II capital requirements. Basel II bank capital requirements is based on the default rate of each loan financed by a bank. This rate is measured by taking into account the specific risk of the credit (its own default probability) and its sensitivity to a systematic factor of risk. The relationship between these two risk factors (specific and systematic) is assumed to be decreasing with the default probability of a credit. This assumption implies that the marginal capital amount for a bank that finances a riskier credit is also decreasing. In order to appraise banks' incentive to finance risky projects, we compare this marginal decreasing amount of capital requirements with the increasing gain linked with the financing of riskier credits, which is measured by credit spreads. Under some conditions on the value of credit spreads, we show that the trade off between marginal cost and marginal gain may encourage initially risky banks under Basel I capital regulation to increase their level of risk under IRB Basel II capital regulation. This incentive bias towards a riskier credit portfolio is in contradiction with Basel II's main objective of reducing the global risk taken by banks.

Keywords: Regulation bancaire; Incitation; Bâle II (search for similar items in EconPapers)
Date: 2008-11
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Published in Revue Economique, 2008, 59 (6), pp.1193-1214

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Journal Article: Bâle II, réallocation des portefeuilles de crédits et incitation à la prise de risque. Une application au cas des pays émergents d'Asie du Sud-Est (2008)
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