Chircop, Justin; Novotny-Farkas, Zoltán - 2014 - First draft: April 10, 2014, This draft: September 18, 2014
unrealistic volatility in regulatory capital and would force banks to make costly changes to their investment and risk management ….e., advanced approaches banks) changed their investment portfolio management. Specifically, affected banks reduce the maturity of … their investment portfolio and decrease the proportion of AFS securities more significantly than unaffected benchmark banks …