In this paper, we investigate how the introduction of complex, model-based capital regulation affected credit risk of … the credit risk of financial institutions. Overall, our results highlight the pitfalls of complex regulation and suggest … financial institutions. Model-based regulation was meant to enhance the stability of the financial sector by making capital …

In this paper, we investigate how the introduction of complex, model-based capital regulation affected credit risk of … the credit risk of financial institutions. Overall, our results highlight the pitfalls of complex regulation and suggest … financial institutions. Model-based regulation was meant to enhance the stability of the financial sector by making capital …

wealth transfers between CoCo holders and shareholders, which may change risk-shifting incentives to shareholders. Higher … risk increases the probability of CoCo conversion, while lowering the wealth transfer. We show that for Principal …-Write-Down (PWD) CoCos, the net effect is to always increase risk-shifting incentives, while for equity-converting CoCos, it depends …

The failure to spot emerging systemic risk and prevent the current global financial crisis warrants a reexamination of …

) risk estimates with portfolio risk. We use loan performance as a direct measure of portfolio risk as well as less direct … market-based measures. Our results document that loan performance is highly correlated with AIRB risk weights and that, in … contrast, Basel I risk weights are not reflective of loan performance. We find that capital requirements under the AIRB …

liquidity risk and characterizes them. Both a solvency (leverage) and a liquidity ratio are required to control the … interpret the 2007 run on SIV and ABCP conduits. -- stress ; crises ; illiquidity risk ; insolvency risk ; leverage ratio …

This paper reviews the cost-benefit analysis, or “regulatory impact analysis” (RIA), in US bank regulators’ risk …

We study the relative strengths and weaknesses of principles based and rules based systems of regulation. In the … make less dramatic changes, making principles based regulation less robust than rules based regulation. Firms prefer a …

This study analyzes the relevance of capital adjustment and risk-taking adjustment during the financial tsunami when … the banking industry was under capital regulation. Using the panel data of commercial banks in the USA and non-USA from …-stage least square analysis. The results show that capital and risk adjustment are positively correlated for both USA and non …