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Conlon, Thomas; Huan, Xing; Ongena, Steven - 2020

In a setting where private information goes public for the first time, we study the real effects of the Basel II Accord requiring banks to calculate operational risk capital, and disclose qualitative and quantitative information. Using a difference-in-differences setup featuring partial US...

Persistent link: https://www.econbiz.de/10012418359

Open banking, shadow banking and regulation

Eccles, Peter; Grout, Paul A.; Siciliani, Paolo; … - 2023

Persistent link: https://www.econbiz.de/10014373759

Capital requirements, market structure, and heterogeneous banks

Müller, Carola - Leibniz-Institut für Wirtschaftsforschung Halle - 2022

Bank regulators interfere with the efficient allocation of resources for the sake of financial stability. Based on this …

Persistent link: https://www.econbiz.de/10013198370

Behind the scenes of the beauty contest : window dressing and the G-SIB framework

Behn, Markus; Mangiante, Giacomo; Parisi, Laura; Wedow, … - 2019

This paper illustrates that systemically important banks reduce a range of activities at year- end, leading to lower additional capital requirements in the form of G-SIB buffers. The effects are stronger for banks with higher incentives to reduce the indicators, and for banks with balance sheet...

Persistent link: https://www.econbiz.de/10012034493

Consistency of banks' internal probability of default estimates

Stepankova, Barbora - 2020

Some financial institutions can use internally developed credit risk models to determine their capital requirements. At the same time, the regulatory framework governing such models allows institutions to implement diverse rating systems with no specified penalty for poor model performance. To...

Persistent link: https://www.econbiz.de/10012320124

Equity versus bail-in debt in banking : an agency perspective

Mendicino, Caterina; Nikolov, Kalin; Suárez, Javier - 2017

We examine the optimal size and composition of banks' total loss absorbing capacity (TLAC). Optimal size is driven by the trade-off between providing liquidity services through deposits and minimizing deadweight default costs. Optimal composition (equity vs. bail-in debt) is driven by the...

Persistent link: https://www.econbiz.de/10011978192

Regulatory changes and the cost of capital for banks

Kovner, Anna; Van Tassel, Peter - 2018

We estimate the cost of capital for the banking industry and find that while the cost of capital soared for banks in the financial crisis, after the passage of the Dodd-Frank Act, the value-weighted cost of capital for banks fell differentially more than did the cost of capital for nonbanks. The...

Persistent link: https://www.econbiz.de/10011868475

Regulation and risk shuffling in bank securities portfolios

Fuster, Andreas; Vickery, James - 2018

Bank capital requirements are based on a mix of market values and book values. We investigate the effects of a policy … banking organizations. Our analysis is based on security-level data on individual bank portfolios matched to bond …

Persistent link: https://www.econbiz.de/10011868435

Toss a stablecoin to your banker : stablecoins' impact on banks' balance sheets and prudential ratios

Coste, Charles-Enguerrand - 2024

analysis reveals that converting retail deposits into stablecoin issuers' deposits weakens a bank's liquidity coverage ratio … backing the stablecoins as central bank reserves or reinvest them in low-risk assets, making these funds a less effective … that when retail customers of bank A buy a stablecoin issued by a non-bank that keeps reserves at bank B, both banks could …

Persistent link: https://www.econbiz.de/10014583751

Bank size and risk-taking under Basel II

Hakenes, Hendrik; Schnabel, Isabel - 2006

We analyze the relationship between bank size and risk-taking under the New Basel Capital Accord. Using a model with …

Persistent link: https://www.econbiz.de/10010366524

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