Arbeitspapier
Credit Rationing Effects of Credit Value-at-Risk
Banks provide risky loans to firms which have superior information regarding the quality of their projects. Due to asymmetric information the banks face the risk of adverse selection. Credit Value-at-Risk (CVaR) regulation counters the problem of low quality, i.e. high risk, loans and therefore reduces the risk of the bank loan portfolio. However, CVaR regulation distorts the operation of credit markets. We show that a binding CVaR constraint introduces credit rationing and lowers social welfare. CVaR regulation also affects the operation of monetary policy.
- Language
-
Englisch
- Bibliographic citation
-
Series: Tinbergen Institute Discussion Paper ; No. 04-032/2
- Classification
-
Wirtschaft
Rationing; Licensing
Asymmetric and Private Information; Mechanism Design
Interest Rates: Determination, Term Structure, and Effects
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Subject
-
Credit rationing
Credit Value-at-Risk
asymmetric information
banks
regulation
loans
Kreditrisiko
Kreditrationierung
Kreditmarkt
Theorie
Risikomaß
- Event
-
Geistige Schöpfung
- (who)
-
Slijkerman, Jan Frederik
Smant, David J.C.
de Vries, Casper G.
- Event
-
Veröffentlichung
- (who)
-
Tinbergen Institute
- (where)
-
Amsterdam and Rotterdam
- (when)
-
2004
- Handle
- Last update
-
20.09.2024, 8:21 AM CEST
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Slijkerman, Jan Frederik
- Smant, David J.C.
- de Vries, Casper G.
- Tinbergen Institute
Time of origin
- 2004
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