Franklin

Internal Models-Based Capital Regulation and Bank Risk-Taking Incentives [electronic resource] Kupiec, Paul H..

Author/Creator:
Kupiec, Paul H.
Publication:
Washington, D.C. : International Monetary Fund, 2002.
Series:
IMF eLibrary
IMF Working Papers; Working Paper No. 02/125.
IMF Working Papers; Working Paper No. 02/125
Format/Description:
Government document
Book
1 online resource (32 p.)
Local subjects:
Asset markets.
Bank assets.
Bank bond.
Bank capital.
Bank capital regulation.
Bank claims.
Bank credit.
Bank debt.
Bank for international settlements.
Bank investment.
Bank investments.
Bank issues.
Bank lending.
Bank lending behavior.
Bank liabilities.
Bank loan.
Bank managers.
Bank regulation.
Bank risk.
Bank risk-taking.
Bank safety.
Bank safety net.
Bank shareholders.
Bank shares.
Bank stakeholders.
Bank supervision.
Bank takes.
Bankers.
Banking.
Banking associations.
Banking industry.
Banking institutions.
Banking practices.
Banking regulators.
Banking supervision.
Banks.
Banks liabilities.
Basel accord.
Bond.
Bond holder.
Bond investment.
Bond investments.
Bond market.
Bond market value.
Bonds.
Capital adequacy.
Capital Budgeting.
Capital regulation.
Capital requirement.
Cash flows.
Contingent Pricing.
Credit risk.
Deposit insurance.
Deposit insurance premium.
Derivative.
Discount bond.
Discount bonds.
Discounting.
Equity capital.
Equity finance.
Equity investment.
Equity market.
Equity markets.
Equity shares.
Financial economics.
Financial institutions.
Financial markets.
Financial services.
Future value.
Futures Pricing.
Government Policy and Regulation.
Insurance premium.
Interest expense.
Interest rate subsidy.
Internal models approach.
International finance.
Investment Policy.
Loan classification.
Mortgages.
Other Depository Institutions.
Present value.
Probability of default.
Shareholder equity.
Stock capital.
Var model.
Switzerland.
Summary:
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.
Notes:
Description based on print version record.
Contributor:
Kupiec, Paul H.
Other format:
Print Version:
ISBN:
1451854838:
9781451854831
ISSN:
1018-5941
Publisher Number:
10.5089/9781451854831.001
Access Restriction:
Restricted for use by site license.
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