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Regulatory constraints on performance-based managerial compensation, bank monitoring, and aggregate loan quality

VanHoose, David D. - In: Atlantic economic journal : AEJ 39 (2011) 4, pp. 315-328

Persistent link: https://www.econbiz.de/10009423442

Hoffmann, Florian; Inderst, Roman; Opp, Marcus M. - 2015

Our paper evaluates recent regulatory proposals mandating the deferral of bonus payments and claw-back clauses in the financial sector. We study a broadly applicable principal agent setting, in which the agent exerts effort for an immediately observable task (acquisition) and a task for which...

Persistent link: https://www.econbiz.de/10010518015

Optimal Bonuses and Deferred Pay for Bank Employees : Implications of Hidden Actions with Persistent Effects in Time

Jarque, Arantxa - 2012

We present a sequence of two-period models of incentive-based compensation in order to understand how the properties of optimal compensation structures vary with changes in the model environment. Each model corresponds to a different occupation within a bank, such as credit line managers, loan...

Persistent link: https://www.econbiz.de/10013096506

Structured finance influence on financial market stability : evaluation of current regulatory developments

Schütz, Sebastian A. - 2010

worldwide political institutions to approve a more rigorous regulation on financial institutions and predict financial crises … EU regulation on credit rating agencies and current Basel II enhancements. Finally we can determine that most regulatory … counterproductive and a danger for worldwide economic growth. -- structured finance ; ratings ; regulation ; subprime crisis ; Basel II …

Persistent link: https://www.econbiz.de/10008695393

Rethinking the Use of Credit Ratings in Capital Regulations : Evidence from the Insurance Industry

Hanley, Kathleen Weiss - 2020

We analyze an initiative by insurance regulators to reform capital regulations for mortgage-backed securities (MBS) by replacing credit ratings with third-party estimates of expected credit losses and by considering an insurer's exposure to future losses when determining regulatory capital....

Persistent link: https://www.econbiz.de/10012856865

Basel III and CEO compensation : a new regulation attempt after the crisis I

Eufinger, C.; Gill, Andrej - 2012 - This version 1. März 2012

The paper analyzes the interaction between an endogenous capital structure and investment decision, and the incentive scheme of bank executives. We show that the implementation of capital requirements, which are contingent on compensation schemes, drive a wedge between the interests of the...

Persistent link: https://www.econbiz.de/10009664970

Basel III and CEO compensation in banks : pay structures as a regulatory signal

Eufinger, Christian; Gill, Andrej - 2013

government guarantees rather than from corporate governance failures within banks. The idea of the proposed regulation is to … shareholder risk-shifting incentives. The decisive advantage of this approach compared to existing regulation is that the …

Persistent link: https://www.econbiz.de/10010226049

Treatment of double default effects within the granularity adjustment for Basel II

Ebert, Sebastian; Lütkebohmert-Holtz, Eva - 2009

Within the Internal Ratings-Based (IRB) approach of Basel II it is assumed that idiosyncratic risk has been fully diversified away. The impact of undiversified idiosyncratic risk on portfolio Value-at-Risk can be quantified via a granularity adjustment (GA). We provide an analytic formula for...

Persistent link: https://www.econbiz.de/10003867202

Failure of saddle-point method in the presence of double defaults

Lütkebohmert, Eva - 2009

We show that the saddle-point approximation method to quantify the impact of undiversified idiosyncratic risk in a credit portfolio is inappropriate in the presence of double default effects. Specifically, we prove that there does not exist an equivalent formula to the granularity adjustment,...

Persistent link: https://www.econbiz.de/10003867238

Improved modeling of double default effects in Basel II : an endogenous asset drop model without additional correlation

Ebert, Sebastian; Lütkebohmert-Holtz, Eva - 2009

In 2005 the Internal Ratings Based (IRB) approach of "Basel II" was enhanced by a "treatment of double default effects" to account for credit risk mitigation techniques such as ordinary guarantees or credit derivatives. This paper reveals several severe problems of this approach and presents a...

Persistent link: https://www.econbiz.de/10003906409

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