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Ökonomische Analyse europäischer Bankenregulierung: Verbriefung und Interbankenmarkt im Fokus

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  • Bobek, Andreas
  • Bohm, Thomas
  • Neuner, Stefan
  • Paintner, Sandra
  • Schmeußer, Stefanie
  • Waldvogel, Felix
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    Abstract

    Die Bankenneuregulierung der Europäische Kommission sieht eine Beschränkung der Kreditvergabe im Interbankenmarkt auf 25 % des Eigenkapitals sowie einen Selbsteinbehalt des Originators in Höhe von 5 % am gesamten zu verbriefenden Forderungsportfolio vor. Eine starre Regulierung führt aber nicht zwingend zu einer dauerhaften Krisenprävention, wie die vorliegende Arbeit modelltheoretisch belegt. Eine starre Kreditvergabebeschränkung erreicht zwar eine Mindestdiversifikation und Eigenkapitalaufstockung im Bankensektor, wodurch das systemische Risiko gesenkt wird. Allerdings geht dies mit steigenden Transaktionskosten einher. Anhand eines Modells von Fender und Mitchell werden die Auswirkungen auf die Screening-Anstrengungen bei Verbriefungen mit komplettem Portfolioselbsteinbehalt, Einbehalt der Equity Tranche und Einbehalt eines vertikalen Anteils durch den Originator untersucht. Aus dem Modell wird ersichtlich, dass ein vertikaler Einbehalt kleiner 100 % des Forderungspools, wie er von der Europäischen Kommission vorgesehen ist, in keiner Situation zu einem optimalen Screening-Einsatz führt, sondern sogar teilweise eine Verschlechterung im Vergleich zum Einbehalt der Equity Tranche darstellt. Eine pauschale Regulierung ist deshalb abzulehnen und eine qualitative, dynamische Regulierung, die mehr Transparenz schafft, zu befürworten. -- The new regulation for banks by the European Commission contains a restriction to 25 % of the equity for credit allocation on the interbank market and an enduring participation of the originator in the whole receivables portfolio of 5 %. But an inflexible regulation does not permanently prevent the market from further financial crisis, which is theoretically analysed in the presented paper. Indeed an inflexible restriction of the equity for credit allocation achieves a minimum diversification and an equity increase on the banking sector, which reduces the systemic risk. Admittedly, this can only occur by acceptance of increasing transaction costs. By applying a model from Fender and Mitchell the impact of the screening efforts for securitizations with complete retention of the portfolio, the retention of the equity tranche and the retention of the vertical fraction by the originator is analysed. The model shows that a vertical retention smaller than 100 % of the pool of receivables, as proposed by the European Commission, does not lead to an optimal level of screening in any situation and might even cause a worsening in comparison to the retention of the equity tranche. Considering the complexity of the financial system, a sweeping regulation must be rejected and a qualitative, dynamic regulation that establishes a higher level of transparency is recommended.

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    Bibliographic Info

    Paper provided by University of Bayreuth, Chair of Finance and Banking in its series Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) with number 2011-01.

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    Date of creation: 2011
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    Handle: RePEc:zbw:bayfat:201101

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    Related research

    Keywords: Bankenregulierung; Verbriefung; Selbstbehalt; Interbankenmarkt;

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    References

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    1. Fender, Ingo & Mitchell, Janet, 2009. "Incentives and Tranche Retention in Securitisation: A Screening Model," CEPR Discussion Papers 7483, C.E.P.R. Discussion Papers.
    2. Krahnen, Jan Pieter, 2005. "Der Handel von Kreditrisiken: Eine neue Dimension des Kapitalmarktes," CFS Working Paper Series 2005/05, Center for Financial Studies (CFS).
    3. Franke, Günter & Krahnen, Jan Pieter, 2008. "The future of securitization," CFS Working Paper Series 2008/31, Center for Financial Studies (CFS).
    4. Ashcraft, Adam B. & Schuermann, Til, 2008. "Understanding the Securitization of Subprime Mortgage Credit," Foundations and Trends(R) in Finance, now publishers, vol. 2(3), pages 191-309, June.
    5. Jobst, Andreas A., 2005. "The Basle scuritisation framework explained: The regulatory treatment of asset securitisation," CFS Working Paper Series 2004/21, Center for Financial Studies (CFS).
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