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IMPACT OF BASLE 2 ON ITALIAN BANK LOANS: CAPITAL REQUIREMENTS ASSESSMENT, EFFECTS OF COLLATERALS AND PRICING SIMULATIONS. R. De Lisa, F. Poli, F. Vallascas Cagliari, 26 may 2007. Literature review. Basel Committee’s QISs (last QIS 5 – June 2006).
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IMPACT OF BASLE 2 ON ITALIAN BANK LOANS: CAPITAL REQUIREMENTS ASSESSMENT, EFFECTS OF COLLATERALS AND PRICING SIMULATIONS R. De Lisa, F. Poli, F. Vallascas Cagliari, 26 may 2007
Literature review • Basel Committee’s QISs (last QIS 5 – June 2006). • Bocchi & Lusignani (2004): sample of loan portfolios of 15 medium size banks (loans to firms with annual turnover < 50 miln Euros). • Gai & Rossi (2003): sample of 41.000 Tuscanian firms. • Fabi, Laviola, Marullo Reedtz (2003): • Altman & Sabato (2005): sample of 20.000 italian SMEs. • De Lisa, Marchesi, Vallascas (2006): estimation of capital requiments for Italian bank loan portfolios (loans to firms), effects of collaterals and pricing implications.
Aims of the study • Determine capital requirements under Basle 2 (IRBF and Standardized) for bank loan portfolios disaggregated by type of borrower, type of loan and geographycal area • Estimate effects of personal guarantees and collaterals on capital requirements for …
Capital adequacy ratios (IRBF vs Standardized without guarantees and collaterals) IRBF STAND
Impact of collaterals and guarantees on CARs for loans to firms (IRBF vs STAND) IRBF STAND
Impact on loan rates (Estimation without collaterals and personal guarantees)
Impact on loan rates for all firms - IRBF - (with and without collaterals and personal guarantees)