Capital regulation effects on insolvency probability of commercial banks in China
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DOI: 10.1080/09720502.2016.1267927
Abstract: Abstract How does capital regulation effect on commercial banks? This paper develops bank solvency probability without capital regulation and with capital regulation according to CAPM model. It finds that bank insolvency probability equilibrium value in… read more here.
Keywords: insolvency probability; capital regulation; capital; commercial banks ... See more keywords
Basel III: where should we go from here?
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DOI: 10.1108/jfep-01-2019-0001
Abstract: Purpose This paper aims to propose the directions for potential reforms for the capital regulation. The focus is on the simplicity and comparability of the regulation, in addition to its risk sensitivity. Design/methodology/approach The author… read more here.
Keywords: methodology; regulation; basel iii; capital regulation ... See more keywords
Bank Capital Regulation of Trading Portfolios: An Assessment of the Basel Framework
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DOI: 10.1111/jmcb.12392
Abstract: In setting minimum capital requirements for trading portfolios, the Basel Committee on Banking Supervision (1996, 2011a, 2013) initially used Value-at-Risk (VaR), then both VaR and stressed VaR (SVaR), and most recently, stressed Conditional VaR (SCVaR).… read more here.
Keywords: regulation trading; capital; trading portfolios; bank capital ... See more keywords
Accounting for Banks, Capital Regulation, and Risk-Taking
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DOI: 10.2139/ssrn.1463101
Abstract: This paper examines risk-taking incentives in banks under different accounting regimes in presence of capital regulation. In the model the bank jointly determines the capital issuance and investment policy. Given an exogenous minimum capital requirement,… read more here.
Keywords: risk taking; capital regulation; capital; bank ... See more keywords