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Analysis of granularity adjustment for regulatory capital

Krali, Mario; Gurov, Andrey - In: Journal of central banking theory and practice 8 (2019) 3, pp. 111-132

The lack of portfolio granularity in terms of exposure has been shown to have important implications for the amount of a financial institution's economic capital. Based on a numerical simulation model, we provide concrete examples of how granularity affects capital levels. We achieve this by...

Persistent link: https://www.econbiz.de/10012101497

Discussion of "Systemic Risk and the Solvency-Liquidity Nexus of Banks"

Adrian, Tobias - 2015

Pierret (2015) presents empirical analysis of the solvency-liquidity nexus for the banking system, documenting that a shock to the level of banks' solvency risk is followed by lower short-term debt. Conversely, higher short-term debt Granger-causes higher solvency risk. These results point...

Persistent link: https://www.econbiz.de/10010502655

Bank capital regulation in a zero interest environment

Döttling, Robin - 2018

How do near-zero interest rates affect bank competition, risk taking and regulation? I study these questions in a tractable dynamic general equilibrium model, in which forward-looking banks compete imperfectly for deposit funding, and deposit insurance may induce excessive risk taking. The zero...

Persistent link: https://www.econbiz.de/10011801359

Optimal bank regulation in the presence of credit and run risk

Kashyap, Anil K.; Tsomocos, Dimitrios P.; Vardoulakis, … - 2017

We modify the Diamond and Dybvig (1983) model of banking to jointly study various regulations in the presence of credit and run risk. Banks choose between liquid and illiquid assets on the asset side, and between deposits and equity on the liability side. The endogenously determined asset...

Persistent link: https://www.econbiz.de/10011803125

On banking regulation and lobbying

Gersbach, Hans; Papageorgiou, Stylianos - 2019 - This version: January 2019

We study the political economy of bank capital regulation from a positive and normative perspective. In a general equilibrium setting, capital requirements and lobbying contributions are determined as the outcome of bargaining between banks and politicians. We show that bankers and politicians...

Persistent link: https://www.econbiz.de/10011962140

Should bank capital regulation be risk sensitive?

Ahnert, Toni; Chapman, James; Wilkins, Carolyn - 2018

We present a simple model to study the risk sensitivity of capital regulation. A banker funds investment with uninsured deposits and costly capital, where capital resolves a moral hazard problem in the banker's choice of risk. Investors are uninformed about investment quality, but a regulator...

Persistent link: https://www.econbiz.de/10011903813

A Pigovian approach to liquidity regulation

Perotti, Enrico C.; Suárez, Javier - 2011

This paper discusses liquidity regulation when short-term funding enables credit growth but generates negative systemic risk externalities. It focuses on the relativemerit of price versus quantity rules, showing how they target different incentives for risk creation.When banks differ in credit...

Persistent link: https://www.econbiz.de/10011383222

Banking capital and risk-taking adjustment under capital regulation : the role of financial freedom, concentration and governance control

Lin, Shu Ling; Hwang, Da-yeh; Wang, Keh Luh; Xie, Zhe Wen - In: International journal of management, economics and … 2 (2013) 2, pp. 99-128

theory. In addition, for banks with low capital adequacy ratio, capital and risk adjustment are negatively correlated. This … applies to the verification of bankruptcy cost avoidance theory and managerial risk aversion theory. Finally, banks with lower …, which are consistent after the financial tsunami. This applies to the verification of the capital buffer theory. In addition …

Persistent link: https://www.econbiz.de/10009753457

Risk sensitivity of banks, interbank markets and the effects of liquidity regulation : conference paper

Pausch, Thilo - 2013 - First draft

The industrial organization approach to banking is extended to analyze the effects of interbank market activity and regulatory liquidity requirements on bank behavior. A multi-stage decision situation allows for considering the interaction between credit risk and liquidity risk of banks. This...

Persistent link: https://www.econbiz.de/10010344667

Capital Regulation with Non-Maturing Deposits

Jermann, Urban J.; Xiang, Haotian - 2023

countries around the 2008 global financial crisis and document novel facts that are consistent with our theory …

Persistent link: https://www.econbiz.de/10014355377