nep-ent New Economics Papers
on Entrepreneurship
Issue of 2005‒03‒06
four papers chosen by
Marcus Dejardin
Facultés Universitaires Notre-Dame de la Paix

  1. Credit Risk Versus Capital Requirements Under Basel II: Are SME Loans and Retail Credit Really Di Erent? By JESPER TOR JACOBSON; KASPER ROSZBACH LINDÉ
  2. The evolutionary theory of the firm: Routines, complexity and change By Werner Hölzl
  3. The Geography of Innovation Commercialization in the United States During the 1990s By Joshua L. Rosenbloom
  4. Credit Risk, Credit Rationing, and the Role of Banks: The Case of Risk Averse Lenders By Thilo Pausch

  1. By: JESPER TOR JACOBSON; KASPER ROSZBACH LINDÉ
    Abstract: The new Basel II regulation contains a number of new regulatory features. Most importantly, internal ratings will be given a central role in the evaluation of bank loans' riskiness. Another novelty is that retail credit and SME loans will receive a special treatment in recognition of the fact that the riskiness of such exposure derives to a greater extent from idiosyncratic risk and much less from common factor risk. Much of the work done on the differences between the risk properties of retail, SME and corporate credit has been based on parameterized model of credit risk. In this paper we present new quantitative evidence on the implied credit loss distributions for two Swedish banks using a non-parametric Monte Carlo re-sampling method following Carey [1998]. Our results are based on a panel data set containing both loan and internal rating data from the banks' complete business loan portfolios over the period 1997-2000. We compute the credit loss distributions that each rating system implies and compare the required economic capital implied by these loss distributions with the regulatory capital under Basel II. By exploiting the fact that a subset of all businesses in the sample is rated by both banks, we can generate loss distributions for SME, retail and corporate credit portfolios with a constant risk profile. Our findings suggest that a special treatment for retail credit and SME loans may not be justified. We also investigate if any alternative definition of SME's and retail credit would warrant different risk weight functions for these types of exposure. Our results indicate that it may be di¢cult to find a simple risk weight function that can account for the differences in portfolio risk properties between banks and asset types.
    Date: 2004–02
    URL: http://d.repec.org/n?u=RePEc:rtv:ceiswp:199&r=ent
  2. By: Werner Hölzl (Vienna University of Economics & B.A.)
    Abstract: This paper provides an overview on the evolutionary theory of the firm. The specific feature of the evolutionary approach is that it explains the adaptive behaviors of firms through the tension between innovation and selection. It is suggested that the evolutionary theory can provide a useful basis for a theory of the firm which is concerned with change over time and development.
    Keywords: theory of the firm, complexity, routines, change of routines
    Date: 2005–02
    URL: http://d.repec.org/n?u=RePEc:wiw:wiwgee:geewp46&r=ent
  3. By: Joshua L. Rosenbloom (Department of Finance, The University of Kansas)
    Abstract: This paper analyzes the location and interrelationship of three measures of innovation commercialization across the 50 largest metropolitan areas in the United States and estimates a model of the factors explaining variations in the location of innovation commercialization. In general innovation commercialization tends to be highly geographically concentrated, suggesting the presence of substantial external economies in these functions. Beyond these scale effects, however, I find that the university science and engineering capacity and local patenting activity both help to account for intercity differences in the level of innovation commercialization activity.
    Date: 2005–01
    URL: http://d.repec.org/n?u=RePEc:kan:wpaper:200502&r=ent
  4. By: Thilo Pausch (University of Augsburg, Department of Economics)
    Abstract: The standard situation of ex post information asymmetry between borrowers and lenders is extended by risk aversion and heterogenous levels of reservation utility of lenders. In a situation of direct contracting optimal incentive compatible contracts are valuable for both, borrowers and lenders. However, there may appear credit rationing as a consequence of borrowers optimal decision making. Introducing a bank into the market increases total wealth due to the appearance of a portfolio effect in the sense of first order stochastic dominance. It can be shown that this effect may even reduce the problem of credit rationing provided it is sufficiently strong.
    Keywords: risk aversion, costly state verification, credit rationing, bank
    JEL: D82 G21 L22
    Date: 2005–02
    URL: http://d.repec.org/n?u=RePEc:aug:augsbe:0271&r=ent

This nep-ent issue is ©2005 by Marcus Dejardin. It is provided as is without any express or implied warranty. It may be freely redistributed in whole or in part for any purpose. If distributed in part, please include this notice.
General information on the NEP project can be found at http://nep.repec.org. For comments please write to the director of NEP, Marco Novarese at <director@nep.repec.org>. Put “NEP” in the subject, otherwise your mail may be rejected.
NEP’s infrastructure is sponsored by the School of Economics and Finance of Massey University in New Zealand.