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Three Essays On The Capital Structure And Risk Exposure Of Banks Under Deposit Insurance And Capital Requirements
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Book Synopsis Three Essays on the Capital Structure and Risk Exposure of Banks Under Deposit Insurance and Capital Requirements by : Xiaozhong Liang
Download or read book Three Essays on the Capital Structure and Risk Exposure of Banks Under Deposit Insurance and Capital Requirements written by Xiaozhong Liang and published by . This book was released on 2006 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second chapter examines the Value at Risk (VaR) based risk exposure for banks and the corresponding costs for regulators. A closed-form solution of VaR is provided based on the valuation results in the first chapter. It is found that banks can offset the risk associated with volatile assets by choosing a suitable proportion of debt. In addition, banks may shift risk to deposit insurance to decrease their own risk exposure under less stringent capital requirements. Being a risk lover does not stop banks from shifting risk to deposit insurance. Regulators can lower down banks risk exposure by imposing more stringent capital requirements.
Book Synopsis Three Essays on Bank Capital Structure, Performance, and Financial Inclusion by : Mais Sha'ban
Download or read book Three Essays on Bank Capital Structure, Performance, and Financial Inclusion written by Mais Sha'ban and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Perverse Effects of a Ratings-related Capital Adequacy System by : Patrick Honohan
Download or read book Perverse Effects of a Ratings-related Capital Adequacy System written by Patrick Honohan and published by World Bank Publications. This book was released on 2000 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is important to harness market information to improve bank safety (for example, by increasing the role of large, well-informed, but uninsured claimants) but the approach of a ratings-related capital adequacy system could be counterproductive. Relying on ratings could induce borrowers to increase their exposure to systemic risk even if they reduce exposure to specific risk.
Book Synopsis Capital Adequacy beyond Basel by : Hal S. Scott
Download or read book Capital Adequacy beyond Basel written by Hal S. Scott and published by Oxford University Press. This book was released on 2005-02-17 with total page 355 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is timely since the Basel Committee on Banking Supervision at the Bank for International Settlements is in the process of making major changes in the capital rules for banks. It is important that capital adequacy regulation helps to achieve financial stability in the most efficient way. Capital adequacy rules have become a key tool to protect financial institutions. The research contained within the book covers some key issues at stake in the capital requirements for insurance and securities firms. The contributors are among the leading scholars in financial economics and law. Their contributions analyze the use of subordinated debt, internal models, and rating agencies in addition to examining the effect on capital of reinsurance, securitization, credit derivatives, and similar instruments.
Book Synopsis The Relationship Between Bank Capital, Risk-taking, and Capital Regulation by : Stéphanie Stolz
Download or read book The Relationship Between Bank Capital, Risk-taking, and Capital Regulation written by Stéphanie Stolz and published by . This book was released on 2002 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Capital Regulations and Shadow Banking by : Diny Ghuzini
Download or read book Three Essays on Capital Regulations and Shadow Banking written by Diny Ghuzini and published by . This book was released on 2015 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt: The shadow banking sector is a sector that is comprised of financial intermediaries that do not have access to central bank funds and perform their activities outside the regular banking system. This sector had been rapidly growing in most developed economies. This dissertation focuses on the behavioral difference and interaction of the traditional and shadow banking sectors as displayed by the relative asset position of both sectors, their risk taking positions, and their business cycles properties. The first essay examines the impact of minimum capital requirements on the share of shadow to total banking assets. Previous literature has argued that increased regulation of the traditional banking sector will lead to regulatory arbitrage and an increase in shadow banking activities. That is, banks shift their operation away from traditional banking into the less regulated shadow banking sector when traditional banking activities are more heavily regulated. This hypothesis is tested using data from 76 countries over the 2005 through 2010 period. The results provide some evidence in favor of the regulatory arbitrage hypothesis, but only for high income countries. The second essay focuses on bank risk taking behavior when the capital requirement is strengthened. Risk is proxied by the share of non-performing loans to total loans in the banks portfolio. Using cross-section data from 82 countries, it examines whether one banking sector takes on more risks than the other sector when a specific risk based capital regulation is applied. The shadow banking sector is found to take on higher risks, as displayed by the loan failures, than the traditional banking sector in response to enhanced capital regulations. The third essay uses the relationship between leverage and assets to quantify the pro-cyclicality of leverage and evaluates the impact of Basel II implementation on procyclicality. Using panel data from 113 countries over the period of 2005-2012, procyclicality is examined for the shadow and traditional banking sectors. The key results indicate that the traditional banking sector tends to be less pro-cyclical than the shadow banking sector and that Basel II implementation intensifies the pro-cyclicality.
Book Synopsis Essays on Bank Capital Regulation by : Clovis Rugemintwari
Download or read book Essays on Bank Capital Regulation written by Clovis Rugemintwari and published by . This book was released on 2011 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three self-contained papers presented in three chapters. In chapter I, we analyse empirically the impact of formal minum capital requirements on bank capital structure by systematically comparing the persistence and convergence of the unregulated and regulated bank capital ratios. We find that, bank risk-based capital ratios are much more influenced by market discipline compared to the leverage ratio and that, their speeds of adjustment are at least two times higher than that of leverage ratio. By specifying minimum regulatory capital requirements, the Basel accords foster market discipline which acts as a watchdog of the rules and thus ultimately influence the behavior of the risk-adjusted capital ratios. In chapter 2, we investigate empirically the role market discipline plays in banks' capital buffer build-up and its complementary role to the minimum capital requirements constraints. We show that market discipline significantly and positively affects banks'capital buffer. By distinguishing junior from senior debt holders, we find that the both types of investors exert a pressure on banks to hold more capital but that the pressure exerted by junior debt holders is higher. We also find that the market exerts a pressure to hold a capital buffer only on banks heavily involved in non-traditional activities. In chapter 3, we investigate theoretically bank portfolio allocation under Basel II where the amount of required capital is determined by bank' s own risk assessment. We particularly show that in presence of asymmetric information between the bank and the supervisor, it has incentives to understate its risk taking which could be curbed by the addition of the simple leverage ratio constraint as recently adopted in Basel III.
Book Synopsis Bank Capital Requirements by : Craig H. Furfine
Download or read book Bank Capital Requirements written by Craig H. Furfine and published by . This book was released on 1995 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Effect of Deposit Insurance on Bank Capital Structure by : Constantin Charles
Download or read book The Effect of Deposit Insurance on Bank Capital Structure written by Constantin Charles and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In 2008, deposit insurance was increased from $100,000 to $250,000 for all FDIC-insured US banks. Since the increase affected banks differently, a difference-in-difference estimation is employed to identify the effect of deposit insurance on bank capital structure. The results indicate that affected banks reduce their capital ratios significantly. To offset this, affected banks expand their position in other borrowed funds. The higher leverage increases bank risk, but despite this, affected banks pay slightly lower interest rates on domestic deposits. The results further show that banks anticipate the increase in insurance before it is actually signed into Public Law.
Book Synopsis Bank Capital Structure, Regulatory Capital, and Securities Innovations by :
Download or read book Bank Capital Structure, Regulatory Capital, and Securities Innovations written by and published by . This book was released on 2000 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Optimal Capital Structure of Banks Under Deposit Insurance and Capital Requirements by : Xiaozhong Liang
Download or read book The Optimal Capital Structure of Banks Under Deposit Insurance and Capital Requirements written by Xiaozhong Liang and published by . This book was released on 2006 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: Capital structure is an important topic in corporate finance, both for practitioners and academic researchers. This paper examines the impact of deposit insurance and capital requirements on the optimal capital structure of banks. The contingent claims model of capital structure is extended to incorporate deposit insurance and capital requirements. Unlike previous studies on the capital structure of banks, our model suggests that there exists an interior optimal capital ratio in the presence of deposit insurance, taxes and a minimum fixed capital ratio. Moreover, a significant financial burden associated with violating capital requirements is needed in order to obtain the interior capital ratio.
Book Synopsis Deposit Insurance, Risk, and Capital Adequacy by : Gordon V. Karels
Download or read book Deposit Insurance, Risk, and Capital Adequacy written by Gordon V. Karels and published by . This book was released on 1988 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Bank Size and Systemic Risk by : Mr.Luc Laeven
Download or read book Bank Size and Systemic Risk written by Mr.Luc Laeven and published by International Monetary Fund. This book was released on 2014-05-08 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: The proposed SDN documents the evolution of bank size and activities over the past 20 years. It discusses whether this evolution can be explained by economies of scale or “too big to fail” subsidies. The paper then presents evidence on the extent to which bank size and market-based activities contribute to systemic risk. The paper concludes with policy messages in the area of capital regulation and activity restrictions to reduce the systemic risk posed by large banks. The analysis of the paper complements earlier Fund work, including SDN 13/04 and the recent GFSR chapter on “too big to fail” subsidies, and its policy message is in line with this earlier work.
Book Synopsis Internal Models-Based Capital Regulation and Bank Risk-Taking Incentives by : Paul H. Kupiec
Download or read book Internal Models-Based Capital Regulation and Bank Risk-Taking Incentives written by Paul H. Kupiec and published by International Monetary Fund. This book was released on 2002-07 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advocates for internal model-based capital regulation argue that this approach will reduce costs and remove distortions that are created by rules-based capital regulations. These claims are examined using a Merton-style model of deposit insurance. Analysis shows that internal model-based capital estimates are biased by safety-net-generated funding subsidies that convey to bank shareholders when market and credit risk regulatory capital requirements are set using bank internal model estimates. These subsidies are not uniform across the risk spectrum, and, as a consequence, internal model regulatory capital requirements will cause distortions in bank lending behavior.
Book Synopsis The Optimal Capital Structure of Banks by :
Download or read book The Optimal Capital Structure of Banks written by and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A New Capital Adequacy Framework by :
Download or read book A New Capital Adequacy Framework written by and published by . This book was released on 2000 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Systemic Risk, Bank Capital, and Deposit Insurance Around the World by : Denefa Bostandzic
Download or read book Systemic Risk, Bank Capital, and Deposit Insurance Around the World written by Denefa Bostandzic and published by . This book was released on 2014 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the effect of bank capital, regulation and deposit insurance on the global systemic risk of international banks during the period of 1999-2012. Using a comprehensive panel of large global banks, we identify factors that influence the build-up of systemic risk worldwide across a large set of heterogeneous regulatory and supervisory schemes. We find that higher Tier 1 capital decreases both the exposure and contribution of individual banks to global systemic risk. We also show that deposit insurance schemes that require banks and depositors to bear more financial risk are associated with a more pronounced vulnerability and contribution of individual banks to a crisis of the financial sector. Further results show that bank size and interconnectedness are positively related and competition is negatively related to global financial fragility. In contrast, we find no convincing evidence that a bank's supervisory environment or non-interest income significantly influence a bank's exposure or contribution to systemic risk.
