Abstract

We analyze the cyclicality of risk weights of banks in the Czech Republic from 2008 to 2016. We differentiate between risk weights under the internal ratings-based and those under the standardized approach, consider the financial cycle, and employ wavelet coherence as a means of dynamic correlation analysis. Our results indicate that the risk weights of exposures under the internal ratings-based approach, including risk weights related to exposures secured by real estate collateral, are procyclical with respect to the financial cycle. We also show that the effect of changing asset quality on risk weights is present for the internal ratings-based approach, in line with our expectations based on regulatory standards. Our results can be employed for the purposes of decision-making on the activation of supervisory and macroprudential instruments, including the countercyclical capital buffer.

中文翻译：

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捷克共和国银行的风险权重是否具有周期性？小波分析的证据

摘要

我们分析了2008年至2016年捷克共和国银行的风险权重的周期性。我们区分了基于内部评级的风险权重和基于标准化方法的风险权重，考虑了财务周期，并采用小波相关性作为动态手段相关分析。我们的结果表明，基于内部评级的方法下的敞口风险权重，包括与由房地产抵押担保的敞口相关的风险权重，相对于财务周期是顺周期的。我们还表明，基于内部评级的方法存在改变资产质量对风险权重的影响，符合我们基于监管标准的预期。我们的研究结果可用于决策的监督和宏观审慎手段的激活，