Samhälle & debatt
Pocket
Economic and Regulatory Capital in Banking
Abel Elizalde • Rafael Repullo • International Journal Of Central Banking
369:-
Uppskattad leveranstid 3-8 arbetsdagar
Fri frakt för medlemmar vid köp för minst 249:-
We analyze the determinants of regulatory capital (the minimum required by regulation), economic capital (that chosen by shareholders without regulation), and actual capital (that chosen with regulation) in a dynamic model of a bank with a loan-portfolio return described by the single-risk-factor model of Basel II. We show that variables that only affect economic capital, such as the intermediation margin and the cost of capital, can account for large deviations from regulatory capital. Actual capital is closer to regulatory capital, but the threat of closing undercapitalized banks generates significant capital buffers. Market discipline, proxied by the coverage of deposit insurance, increases economic and actual capital, although the effects are small.
- Format: Pocket/Paperback
- ISBN: 9781249560401
- Språk: Engelska
- Antal sidor: 34
- Utgivningsdatum: 2012-09-27
- Förlag: Bibliogov