Purpose - This analysis asks whether regulatory capital requirements capture differences in systematic risk for large firms and micro-, small- and medium-sized enterprises (MSMEs). The authors explore whether bank capital regulations intended to support SMEs’ access to borrowing are effective. The purpose of this paper is to find out whether the regulatory design (particularly the estimate of asset correlations) positively affects the lending process to small and medium enterprises, compared to large corporates. Design/methodology/approach - The authors investigate the appropriateness of bank capital requirements considering default risk of loans to MSMEs and distortions in capital charges between MSMEs and large firms under the Basel III framework. The authors compiled firm-level data to capture the proportions of MSMEs and large firms in Italy during 2000–2014. The data set is drawn from financial reports of 708,041 firms over 15?years. Unlike most empirical studies that correlate assets and defaults, this study assesses a firm’s creditworthiness not by agency ratings or by sampling banks but by a specific model to estimate one-year probabilities of default. Findings - The authors found that asset correlations increase with firms’ size and that large firms face considerably greater systematic risk than MSMEs. However, the empirical values are much lower than regulatory values. Moreover, when the authors focused on the MSME segment, systematic risk is rather stable and varies significantly with turnover. This analysis showed that the regulatory supporting factor represents a valuable attempt to treat MSME loans more fairly with respect to banks’ capital requirements. Basel III-internal ratings-based approach results show that when the supporting factor is applied, the Risk-Weighted-Assets (RWA) differences between MSMEs and large firms increase. Research limitations/implications - The implications of this research is that banking regulators to make MSMEs support more effective should review asset correlation estimation criteria, refining the fitting with empirical evidence. Practical implications - The asset correlation parameter stipulated by the Basel framework is invariant with economic cycles, decreases with borrowers’ probability of default and increases with borrowers’ assets. The authors found that those relations do not hold. This way, asset correlations fall below parameters defined by regulatory formula, and SMEs’ credit risk could be overstated, resulting in a capital crunch. Originality/value - The original contribution of this paper is to demonstrate that the gap between empirical and regulatory capital charge remains high. When the authors examined the Basel III-IRBA, results showed that when the supporting factor is applied, the RWA differences between MSMEs and large firms increase. This is particularly strong for loans to small- and medium-sized companies. Correctly calibrating asset correlations associated with the supporting factor eliminates regulatory distortions, reducing the gap in capital charges between loans to large corporate and MSMEs.

中文翻译：

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支持中小企业信贷获取的法规的优缺点

目的-此分析询问监管资本要求是否涵盖了大公司以及中小型企业（MSME）的系统风险差异。作者探讨了旨在支持中小企业获得借贷的银行资本法规是否有效。本文的目的是找出与大公司相比，监管设计（尤其是资产相关性的估计）是否对中小型企业的借贷过程产生了积极影响。设计/方法/方法-作者在巴塞尔协议III框架下，考虑到向MSME贷款的违约风险以及MSME与大型企业之间资本费用的扭曲，研究了银行资本要求的适当性。作者汇编了企业层面的数据，以获取2000-2014年意大利MSME和大型企业的比例。该数据集来自708,041家公司超过15年的财务报告。与大多数将资产和违约相关的实证研究不同，本研究不是通过代理评级或通过对银行进行抽样而是通过一种特定的模型来评估公司一年的违约概率来评估企业的信誉度。调查结果-作者发现资产相关性随公司规模的增加而增加，而大公司面临的系统风险要比MSME大得多。但是，经验值远低于法规值。此外，当作者专注于MSME细分市场时，系统风险相当稳定，并且随着营业额的变化而显着变化。该分析表明，监管支持因素代表了就银行资本要求更公平地对待MSME贷款的宝贵尝试。巴塞尔协议III-基于内部评级的方法结果表明，当应用支持因素时，MSME与大企业之间的风险加权资产（RWA）差异会增加。研究的局限性/意义-这项研究的意义在于，为使MSME支持更有效的银行监管机构应审查资产相关性估计标准，并用经验证据进行调整。实际意义-巴塞尔框架规定的资产相关参数随经济周期而不变，随借款人违约概率而降低，随借款人资产而增大。作者发现这些关系不成立。这条路，资产相关性低于监管公式定义的参数，并且中小企业的信用风险可能被夸大了，从而导致资金紧缩。原创性/价值-本文的原始贡献是证明经验资本金和监管资本金之间的差距仍然很大。当作者检查《巴塞尔协议III-IRBA》时，结果表明，如果应用支持因素，则MSME与大企业之间的RWA差异会增加。对于中小企业贷款尤其如此。正确校准与支持因素相关的资产相关性，可以消除监管扭曲，从而减少大型企业和MSME贷款之间的资本支出差距。导致资金紧缩。原创性/价值-本文的原始贡献是证明经验资本金和监管资本金之间的差距仍然很大。当作者检查《巴塞尔协议III-IRBA》时，结果表明，如果应用支持因素，则MSME与大企业之间的RWA差异会增加。对于中小企业贷款尤其如此。正确校准与支持因素相关的资产相关性，可以消除监管扭曲，从而减少大型企业和MSME贷款之间的资本支出差距。导致资金紧缩。原创性/价值-本文的原始贡献是证明经验资本金和监管资本金之间的差距仍然很大。当作者检查《巴塞尔协议III-IRBA》时，结果表明，如果应用支持因素，则MSME与大企业之间的RWA差异会增加。对于中小企业贷款尤其如此。正确校准与支持因素相关的资产相关性，可以消除监管扭曲，从而减少大型企业和MSME贷款之间的资本支出差距。结果表明，当应用支持因素时，MSME与大企业之间的RWA差异会增加。对于中小企业贷款尤其如此。正确校准与支持因素相关的资产相关性，可以消除监管扭曲，从而减少大型企业和MSME贷款之间的资本支出差距。结果表明，当应用支持因素时，MSME与大企业之间的RWA差异会增加。对于中小企业贷款尤其如此。正确校准与支持因素相关的资产相关性，可以消除监管扭曲，从而减少大型企业和MSME贷款之间的资本支出差距。