Capital requirement ≈ Capital requirement
View article: Deposit Competition and Financial Fragility: Evidence from the US Banking Sector
Deposit Competition and Financial Fragility: Evidence from the US Banking Sector Open
We develop a structural empirical model of the US banking sector. Insured depositors and run-prone uninsured depositors choose between differentiated banks. Banks compete for deposits and endogenously default. The estimated demand for unin…
View article
Banks Response to Higher Capital Requirements: Evidence from a Quasi-Natural Experiment Open
© The Author(s) 2018. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. We study the impact of higher capital requirements on banks' balance sheets and their transmission to the real …
View article
The Rise of Shadow Banking: Evidence from Capital Regulation Open
We investigate the connections between bank capital regulation and the prevalence of lightly regulated nonbanks (shadow banks) in the U.S. corporate loan market. For identification, we exploit a supervisory credit register of syndicated lo…
View article
An Overview of Macroprudential Policy Tools Open
Macroprudential policies—caps on loan to value ratios, limits on credit growth and other balance-sheet restrictions, (countercyclical) capital and reserve requirements and surcharges, and Pigouvian levies—have become part of the policy par…
View article
Elicitability and backtesting: Perspectives for banking regulation Open
Conditional forecasts of risk measures play an important role in internal risk management of financial institutions as well as in regulatory capital calculations. In order to assess forecasting performance of a risk measurement procedure, …
View article
Measures of Systemic Risk Open
Systemic risk refers to the risk that the financial system is susceptible to\nfailures due to the characteristics of the system itself. The tremendous cost\nof systemic risk requires the design and implementation of tools for the\nefficien…
View article
Determinants of Bank Profitability: Empirical Evidence from Bangladesh Open
This study attempts to investigate capital strength, credit risk, ownership structure, bank size, non-interest income, cost efficiency, off-balance sheet activities, liquidity as potential bank specific determinants as well as growth in gr…
View article
SECTORAL ANALYSIS OF THE EFFECTIVENESS OF BANK RISK CAPITAL IN THE VISEGRAD GROUP COUNTRIES Open
Bank risk capital (capital at risk) is identified with the value of banks’ own funds maintaining to absorb potential losses and protect against insolvency. It is calculated for the capital adequacy ratios, recommended by the Basel Committe…
View article
Financial performance of rural banks in Indonesia: A two-stage DEA approach Open
This study aims to analyze the efficiency performance of conventional and Islamic rural banks in Indonesia, specifically, Bank Perkreditan Rakyat (BPR) and Bank Pembiayaan Rakyat Syariah (BPRS). Using a DEA approach, the results indicate t…
View article
Formal Enforcement Actions and Bank Behavior Open
Employing a unique data set for the period 2000–2010, this paper examines the impact of formal enforcement actions targeting the core of the banks’ financial safety and soundness in terms of bank capital, risk, and performance. We find tha…
View article
Would Macroprudential Regulation Have Prevented the Last Crisis? Open
How well equipped are today’s macroprudential regimes to deal with a rerun of the factors that led to the global financial crisis? To address the factors that made the last crisis so severe, a macroprudential regulator would need to implem…
View article
Do Strict Regulators Increase the Transparency of Banks? Open
We investigate the role that regulatory strictness plays on the enforcement of financial reporting transparency in the U.S. banking industry. Using a novel measure of regulatory strictness in the enforcement of capital adequacy, we show th…
View article
Strengthening and Streamlining Bank Capital Regulation Open
We propose three core principles that should inform the design of bank capital regulation. First, whenever possible, multiple constraints on the minimum level of equity capital should be consolidated into a single constraint. This helps to…
View article
How Effective are Macroprudential Policies? An Empirical Investigation Open
In recent years, policymakers have generally relied on macroprudential policies to address financial stability concerns. However, our understanding of these policies and their efficacy is limited. In this paper, we construct a novel index …
View article
Bank Capital Adequacy Ratio and Bank Performance in Vietnam: A Simultaneous Equations Framework Open
Playing an important role in developing the economy and overall developments of the country, commercial banks have to be aware of their crucial presence in order to perform well and contribute significantly. At the same time, as a place to…
View article
The Limits of Model‐Based Regulation Open
Using loan‐level data from Germany, we investigate how the introduction of model‐based capital regulation affected banks' ability to absorb shocks. The objective of this regulation was to enhance financial stability by making capital requi…
View article
Capital Requirements in a Quantitative Model of Banking Industry Dynamics Open
We develop a model of banking industry dynamics to study the quantitative impact of capital requirements on bank risk taking, commercial bank failure, and market structure. We propose a market structure where big, dominant banks interact w…
View article
TONUITY: A NOVEL INDIVIDUAL-ORIENTED RETIREMENT PLAN Open
For insurance companies in Europe, the introduction of Solvency II leads to a tightening of rules for solvency capital provision. In life insurance, this especially affects retirement products that contain a significant portion of longevit…
View article
Value-at-risk and related measures for the Bitcoin Open
Purpose The purpose of this paper is to examine the value-at-risk and related measures for the Bitcoin and to compare the findings with Standard and Poor’s SP500 Index, and the gold spot price time series. Design/methodology/approach A GJR…
View article
Volatile capital flows and economic growth: The role of banking supervision Open
In this paper, we examine the links among banking supervision, the volatility of financial flows, and economic growth. In particular, we explore whether banking regulation mitigates the adverse effects of capital flows volatility on econom…
View article
The Forced Safety Effect: How Higher Capital Requirements Can Increase Bank Lending Open
Government guarantees generate an implicit subsidy for banks. A capital requirement reduces this subsidy, through a simple liability composition effect. However, the guarantees also make a bank undervalue loans that generates surplus in st…
View article
Capital Regulation and Bank Risk-Taking Behavior: Evidence from Pakistan Open
In response to the global financial crisis of 2007–2009, risk-based capital requirements have been reinforced in the new Basel III Accord to counter excessive bank risk-taking behavior. However, prior theoretical as well as empirical liter…
View article
Why Don't All Banks Practice Regulatory Arbitrage? Evidence from Usage of Trust-Preferred Securities Open
We investigate why only some banks use regulatory arbitrage. We predict that banks wanting to be riskier than allowed by capital regulations (constrained banks) use regulatory arbitrage, while others do not. We find support for this hypoth…
View article
Solvency: Models, Assessment and Regulation Open
Introduction General Outline of the Book Organizations A Selection of Solvency Readings Solvency: What Is It? In the 18th Century What Does Solvency Mean? PAST AND PRESENT: A HISTORICAL REVIEW AND DIFFERENT APPROACHES TO SOLVENCY The Europ…
View article
Bank Capital Redux: Solvency, Liquidity, and Crisis Open
What is the relationship between bank capital, the risk of a financial crisis, and its severity?This paper introduces the first comprehensive analysis of the long-run evolution of the capital structure of modern banking using newly constru…
View article
Why You Should Use the Hodrick-Prescott Filter – at Least to Generate Credit Gaps Open
The credit gap, defined as the deviation of the credit-to-GPD ratio from a Hodrick-Prescott (HP) filtered trend, is a powerful early warning indicator for predicting crises. Basel III therefore suggests that policymakers should use it as p…
View article
Regulatory Forbearance in the U.S. Insurance Industry: The Effects of Removing Capital Requirements for an Asset Class Open
We analyze the effects of a reform of capital regulation for U.S. insurance companies in 2009. The reform eliminates capital buffers against unexpected losses associated with portfolio holdings of MBS, but not for other fixed-income assets…
View article
Changes in Prudential Policy Instruments---A New Cross-Country Database Open
This paper documents the features of a new database that focuses on changes in the intensity in the usage of several widely used prudential tools, taking into account both macro-prudential and microprudential objectives. The database cover…
View article
The Axiomatic Approach to Risk Measures for Capital Determination Open
The quantification of downside risk in terms of capital requirements is a key issue for both regulators and the financial industry. This review presents the axiomatic approach, which is based on monetary risk measures. These provide a unif…
View article
Measuring the model risk-adjusted performance of machine learning algorithms in credit default prediction Open
Implementing new machine learning (ML) algorithms for credit default prediction is associated with better predictive performance; however, it also generates new model risks, particularly concerning the supervisory validation process. Recen…