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We examine the prudential implications of the co-existence between the standardized approach and the internal ratings-based (IRB) approach, as defined in the new Basle Accord. We consider a model in which sophisticated banks, eligible for the IRB approach, and unsophisticated banks, eligible for...
Persistent link: https://www.econbiz.de/10011430044
This paper extends the literature on bank capital structure by modeling capital structure as a function of important … public policy and bank regulatory characteristics of the home country, as well as of bank-specific variables, country …. The results indicate that bank capital ratios are significantly affected in the hypothesized directions by most of the …
Persistent link: https://www.econbiz.de/10010292273
. A bank with higher capital has lesschance of breaching the ratio, so may actually take more risk. As a result, banks … stylized facts about pre-crisis bank behavior, and suggest implications for the optimal design of capital regulation. …
Persistent link: https://www.econbiz.de/10010326052
This paper provides a compact framework for banking regulation analysis in the presence of uncertainty between systemic liquidity and solvency shocks. Extending the work by Cao & Illing (2009a, b), it is shown that systemic liquidity shortage arises endogenously as part of the inferior mixed...
Persistent link: https://www.econbiz.de/10010427592
Persistent link: https://www.econbiz.de/10010475189
Ansatz der am Risiko der jeweiligen Bank orientierten Eigenkapitalunterlegung ausgebaut oder eine nicht …
Persistent link: https://www.econbiz.de/10011693538
This paper investigates the relationship between short-term interest rates and bank risk. Using a unique database that …
Persistent link: https://www.econbiz.de/10011605212
Banks face a tradeoff between diversifying and focusing their loan portfolio. In this paper we carry out an empirical study for the German market to shed light on the question whether or not the benefits of risk sharing outweigh those of specialization. We use data from the Bundesbank's...
Persistent link: https://www.econbiz.de/10010295924
The authors use simulations within the BoC-GEM-FIN, the Bank of Canada's version of the Global Economy Model with … changing bank regulations on the Canadian economy. Specifically, they compute short- and long-run impacts on key macroeconomic … that, while long-run effects on bank loans, lending spreads, investment, and output are modest, the short-run effects are …
Persistent link: https://www.econbiz.de/10010289685
identifies current challenges for the bank-based financial sectors as mainly stemming from: (i) high or rising domestic credit …
Persistent link: https://www.econbiz.de/10011606288