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The treatment of SMEs loans in the New Basel Capital Accord: some evaluations

Listed author(s):
  • Fabrizio Fabi

    ()

    (Banca d'Italia, Vigilanza Creditizia e Finanziaria, Servizio Concorrenza, Normativa e Affari Generali, Roma (Italy))

  • Sebastiano Laviola

    ()

    (Banca d'Italia, Vigilanza Creditizia e Finanziaria, Servizio Concorrenza, Normativa e Affari Generali, Roma (Italy))

  • Paolo Marullo Reedtz

    ()

    (Banca d'Italia, Vigilanza Creditizia e Finanziaria, Servizio Concorrenza, Normativa e Affari Generali, Roma (Italy))

Registered author(s):

    In April 2003 the Basel Committee on Banking Supervision issued a third consultative paper on the new Basel Capital Accord (Basel II). The document contains substantial changes with respect to the previous proposal of January 2001, on which improvements were requested, among other aspects, regarding the too severetreatment foreseen for loans to small and medium sized enterprises (SMEs). The aim of this paper is to analyse the treatment of SME loans under the Basel II framework and to provide an empirical evaluation of the impact of the different proposals on a large hypothetical portfolio of Italian corporations. Our simulations indicate that the prudential treatment of SME loans foreseen in the last consultative document of theBasel Committee is not penalizing with respect to the current situation. Therefore, we should not expect a reduction of credit or an increase in interest rates on loans to this type of borrowers.

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    File URL: http://ojs.uniroma1.it/index.php/PSLQuarterlyReview/article/view/9821/9706
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    Article provided by Banca Nazionale del Lavoro in its journal Banca Nazionale del Lavoro Quarterly Review.

    Volume (Year): 57 (2004)
    Issue (Month): 228 ()
    Pages: 29-70

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    Handle: RePEc:psl:bnlqrr:2004:12
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    1. Edward I. Altman & Andrea Resti & Andrea Sironi, 2002. "The link between default and recovery rates: effects on the procyclicality of regulatory capital ratios," BIS Working Papers 113, Bank for International Settlements.
    2. Eva Catarineu-Rabell & Patricia Jackson & Dimitrios Tsomocos, 2005. "Procyclicality and the new Basel Accord - banks’ choice of loan rating system," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 26(3), pages 537-557, October.
    3. Eva Catarineu-Rabell & Patricia Jackson & Dimitrios Tsomocos, 2005. "Procyclicality and the new Basel Accord - banks’ choice of loan rating system," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 26(3), pages 537-557, October.
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