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Ökonomische Analyse europäischer Bankenregulierung: Verbriefung und Interbankenmarkt im Fokus

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

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    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
    Contact details of provider: Postal: Universitätsstraße 30, 95440 Bayreuth
    Web page: http://www.fiba.uni-bayreuth.de/de/index.html

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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. 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).
    3. Franke, Günter & Krahnen, Jan Pieter, 2008. "The future of securitization," CFS Working Paper Series 2008/31, Center for Financial Studies (CFS).
    4. Jan Pieter Krahnen, 2005. "Der Handel von Kreditrisiken: Eine neue Dimension des Kapitalmarktes," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, vol. 6(4), pages 499-519, November.
    5. 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.
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