4.7 Article

International banking regulation and Tier 1 capital ratios. On the robustness of the critical average risk weight framework

Related references

Note: Only part of the references are listed.
Article Business, Finance

The Limits of Model-Based Regulation

Markus Behn et al.

Summary: Using loan-level data from Germany, this study examines the impact of model-based capital regulation on banks' ability to absorb shocks. The findings suggest that banks optimized the regulation to reduce their capital requirements and systematically underreported risk, with higher gains for banks. Additionally, large banks benefited from the regulation at the expense of smaller banks.

JOURNAL OF FINANCE (2022)

Article Business, Finance

Fire-Sale Spillovers and Systemic Risk

Fernando Duarte et al.

Summary: By constructing an index of aggregate vulnerability, researchers were able to identify and track factors that make the financial system vulnerable to fire sales, with the index increasing rapidly starting in 2004 and tripling by 2008, primarily driven by factors such as deleveraging speed and concentration of illiquid assets. Individual banks' contributions to aggregate vulnerability were found to predict other firm-specific measures of systemic risk, making balance-sheet-based measures useful early indicators of building vulnerabilities.

JOURNAL OF FINANCE (2021)

Article Management

Strategic fire-sales and price-mediated contagion in the banking system

Yann Braouezec et al.

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2019)

Article Management

Financial Regulatory Reform After the Crisis: An Assessment

Darrell Duffie

MANAGEMENT SCIENCE (2018)

Article Business, Finance

The Evolving Complexity of Capital Regulation

Richard J. Herring

JOURNAL OF FINANCIAL SERVICES RESEARCH (2018)

Article Business, Finance

Risk-Based Capital Requirements and Optimal Liquidation in a Stress Scenario

Yann Braouezec et al.

REVIEW OF FINANCE (2018)

Article Business, Finance

Do European banks manipulate risk weights?

Emilio Barucci et al.

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS (2018)

Article Business, Finance

Optimal Leverage Ratio and Capital Requirements with Limited Regulatory Power

Ho-Mou Wu et al.

REVIEW OF FINANCE (2016)

Article Business, Finance

Are regulatory capital adequacy ratios good indicators of bank failure? Evidence from US banks

Heba Abou-El-Sood

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS (2016)

Article Business, Finance

Vulnerable banks

Robin Greenwood et al.

JOURNAL OF FINANCIAL ECONOMICS (2015)

Article Business, Finance

Quality of bank capital and bank lending behavior during the global financial crisis

Marko Kosak et al.

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS (2015)

Article Business, Finance

Do banks' internal Basel risk estimates reflect risk?

Irina Barakova et al.

JOURNAL OF FINANCIAL STABILITY (2014)

Article Business, Finance

The manipulation of basel risk-weights

Mike Mariathasan et al.

JOURNAL OF FINANCIAL INTERMEDIATION (2014)

Article Business, Finance

A leverage ratio rule for capital adequacy

Robert Jarrow

JOURNAL OF BANKING & FINANCE (2013)

Article Business, Finance

How to Design a Contingent Convertible Debt Requirement That Helps Solve Our Too-Big-to-Fail Problem

Charles W. Calomiris et al.

JOURNAL OF APPLIED CORPORATE FINANCE (2013)

Article Business, Finance

The Risk Sensitivity of Capital Requirements: Evidence from an International Sample of Large Banks

Francesco Vallascas et al.

REVIEW OF FINANCE (2013)

Article Business, Finance

Basel III: Is the cure worse than the disease?

Bill Allen et al.

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS (2012)

Article Business, Finance

Why 'Basel II' may need a leverage ratio restriction

Juerg M. Blum

JOURNAL OF BANKING & FINANCE (2008)