Basel Accords Bank Capital And Portfolio Risk Behavior
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Basel Accords Bank Capital And Portfolio Risk Behavior
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Author : Venus Khim-Sen Liew
language : en
Publisher: Cambridge Scholars Publishing
Release Date : 2019-08-22
Basel Accords Bank Capital And Portfolio Risk Behavior written by Venus Khim-Sen Liew and has been published by Cambridge Scholars Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-08-22 with Business & Economics categories.
With the endorsement of the Basel III contracts on the supervision of the banking industry, management of capital buffers throughout the business cycle have attained crucial importance for the reinforcement of financial stability in the banking system. This book departs from previous studies through its focus on developing countries and their assessment of the behavior of capital and risk.
International Convergence Of Capital Measurement And Capital Standards
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Author :
language : en
Publisher: Lulu.com
Release Date : 2004
International Convergence Of Capital Measurement And Capital Standards written by and has been published by Lulu.com this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Bank capital categories.
Bank Capital And Risk Taking
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Author : Stéphanie M. Stolz
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-10-24
Bank Capital And Risk Taking written by Stéphanie M. Stolz and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-10-24 with Business & Economics categories.
The year-long consultations on Basel II mirror the international popularity of capital requirements as a regulatory instrument. Yet, the impact of capital requirements on banks' behavior is not fully understood. The aim of this study is to contribute to this understanding.
The New Basel Accord And Questions For Research
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Author : Marc R. Saidenberg
language : en
Publisher:
Release Date : 2003
The New Basel Accord And Questions For Research written by Marc R. Saidenberg and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
The New Basel Accord for bank capital regulation is designed to better align regulatory capital to the underlying risks by encouraging better and more systematic risk management practices, especially in the area of credit risk. We provide an overview of the objectives, analytical foundations and main features of the Accord and then open the door to some research questions provoked by the Accord. We see these questions falling into three groups: What is the impact of the proposal on the global banking system through possible changes in bank behavior; a set of issues around risk analytics such as model validation, correlations and portfolio aggregation, operational risk metrics and relevant summary statistics of a bank's risk profile; issues brought about by Pillar 2 (supervisory review) and Pillar 3 (public disclosure).
Banking Competition Risk And Regulation
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Author : Wilko Bolt
language : en
Publisher:
Release Date : 2004
Banking Competition Risk And Regulation written by Wilko Bolt and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Banks and banking categories.
Basel Capital Requirements And Credit Crunch In The Mena Region
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Author : Mr.Sami Ben Naceur
language : en
Publisher: International Monetary Fund
Release Date : 2013-07-03
Basel Capital Requirements And Credit Crunch In The Mena Region written by Mr.Sami Ben Naceur and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-07-03 with Business & Economics categories.
The 1988 Basel I Accord set the common requirements of bank capital to promote the soundness and stability of the international banking system. The agreement required banks to hold capital in proportion to their perceived credit risks, and this requirement may have caused a “credit crunch,” a significant reduction in the supply of credit. We investigate the direct link between the implementation of the Basel I Accord and lending activities, using a data set spanning annual observations covering 1989–2004 for banks in Egypt, Jordan, Lebanon, Morocco, and Tunisia. The results provide clear support for a significant increase in credit growth following the implementation of capital regulations, in general. Despite higher capital adequacy ratios, banks expanded credit and asset growth. Credit growth appears to be driven by demand fluctuations attributed to real growth, cost of borrowing, and exchange rate risk. Overall, the effects of macroeconomic variables, in contrast to capital adequacy, appear to be more dominant in determining credit growth, regardless of the capital adequacy ratio, and regardless of variation across banks by nationality, ownership, and listing.
Deposit Insurance The New Basel Accord And The Risk Taking Behavior Of Banks
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Author : Daoud Barkat Daoud
language : en
Publisher:
Release Date : 2006
Deposit Insurance The New Basel Accord And The Risk Taking Behavior Of Banks written by Daoud Barkat Daoud and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
This paper analyzes the new Basel Accord abilities to reduce the externalities that result from the underpriced deposit insurance. A moral hazard framework is adopted to describe the optimal behavior of banks that endogenously select the characteristics of their credit portfolio in order to maximize the benefit from subsidized insured deposits. Our results show that the New Basel Accord will add to bank stability and hence will reduce the loss exposure of the deposit insurance fund. Finer risk differentiation of the capital requirements yields a major advantage: the informational content of the regulatory capital allows the supervisors to identify with ease the risky banks.
Bank Capital And Lending Behavior
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Author : Leonardo Gambacorta
language : en
Publisher:
Release Date : 2003
Bank Capital And Lending Behavior written by Leonardo Gambacorta and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Bank capital categories.
Pillar 1 Vs Pillar 2 Under Risk Management
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Author : Loriana Pelizzon
language : en
Publisher:
Release Date : 2005
Pillar 1 Vs Pillar 2 Under Risk Management written by Loriana Pelizzon and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Banking law categories.
"Under the New Basel Accord bank capital adequacy rules (Pillar 1) are substantially revised but the introduction of two new "Pillars" is, perhaps, of even greater significance. This paper focuses on Pillar 2 which expands the range of instruments available to the regulator when intervening with banks that are capital inadequate and investigates the complementarity between Pillar 1 (risk-based capital requirements) and Pillar 2. In particular, the paper focuses on the role of closure rules when recapitalization is costly. In the model banks are able to manage their portfolios dynamically and their decisions on recapitalization and capital structure are determined endogenously. A feature of our approach is to consider the costs as well as the benefits of capital regulation and to accommodate the behavioral response of banks in terms of their portfolio strategy and capital structure. The paper argues that problems of capital adequacy are minor unless, in at least some states of the world, banks are able to violate the capital adequacy rules. The paper shows how the role of Pillar 2 depends on the effectiveness of capital regulation, i.e., the extent to which banks can "cheat""--National Bureau of Economic Research web site.
Bank Capital And New Regulatory Requirements For Risks In Trading Portfolios
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Author : hulusi inanoglu
language : en
Publisher:
Release Date : 2020
Bank Capital And New Regulatory Requirements For Risks In Trading Portfolios written by hulusi inanoglu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
This article examines the impact of the new supervisory standards of Basel 2.5 and Basel III for bank trading portfolios with regards to the additional capital requirements developed to mitigate liquidity risk and credit risk. Using the incremental risk charge (IRC), the authors estimate risk measures in several alternate contexts. They find a potentially material increase in capital requirements above and beyond that concluded in the far-ranging impact studies conducted by the international supervisors. This effect is accentuated for financial or sovereign sectors as compared with industrial sectors, and regulatory capital is larger than economic capital. They compare credit risk models and find that the multivariate model reveals larger capital estimates for the financial and sovereign sectors by orders of magnitude versus the industrial sector or the Basel II model. Finally, in a Bayesian experiment, they find that the new requirements may introduce added uncertainty into risk measures as compared with existing approaches.