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1.
In this paper, we examine the impact of capital regulation on bank risk and the moderating role of deposit insurance on the relationship between capital regulation and bank risk during both normal and crisis periods. Using an international sample of banks from 111 countries, our results show that stringent capital regulation reduces bank default risk, in general, during normal growth period, and this effect is not conditioned by the existence of explicit deposit insurance. Further, stringent capital regulation in place during the pre-crisis period reduces bank default risk during the crisis period, and this effect is stronger for countries with explicit deposit insurance during the pre-crisis period. These results have important policy implications to design the optimal bank regulations. 相似文献
2.
通过对经济周期、金融危机和银行行为三者之间的关系进行考察发现:银行的风险水平以不对称的方式反映了信贷市场环境的变化。一般而言,当信贷市场环境出现恶化时,资本充足率和功能分散化程度较高的银行表现出较低的敏感度。这一结论对于我国银行业的改革有着重要启示。 相似文献
3.
There is a current controversy concerning the appropriate size of banks’ capital requirements, and the trade-off between the costs and benefits of implementing higher capital requirements. We quantify the size of capital buffers required to reduce system-wide losses using confidential regulatory data for Australian banks from 2002 to 2014 and annual public accounts from 1978 to 2014. We find that a moderate increase in bank capital buffers is sufficient to maintain financial system resilience, even after taking economic downturns into consideration. Furthermore, while banks benefit from paying a lower cost of debt when they have a higher capital buffer, lending volumes are lower indicating that credit supply may be hampered if bank capital levels are too high within a financial system. 相似文献
4.
This paper studies the consequences of a regulatory pay cap in proportion to assets on bank risk, bank value, and bank asset allocations. The cap is shown to lower banks’ risk and raise banks’ values by acting against a competitive externality in the labour market. The risk reduction is achieved without the possibility of reduced lending from a Tier 1 increase. The cap encourages diversification and reduces the need a bank has to focus on a limited number of asset classes. The cap can be used for Macroprudential Regulation to encourage banks to move resources away from wholesale banking to the retail banking sector. Such an intervention would be targeted: in 2009 a 20% reduction in remuneration would have been equivalent to more than 150 basis points of extra Tier 1 for UBS, for example. 相似文献
5.
The paper studies outside finance in a model of two-dimensional moral hazard, involving risk choices as well as effort choices. If the entrepreneur has insufficient funds, a first-best outcome cannot be implemented. Second-best outcomes involve greater failure risk than first-best outcomes. For a Cobb-Douglas technology, second-best effort and investment levels are smaller than first-best; for other technologies, the comparison depends on the elasticity of substitution. If firm returns are not too noisy as signals of behaviour, the optimal incentive scheme corresponds to some mix of debt and equity finance. If firm returns are too noisy, this interpretation is not available. 相似文献
6.
《Journal of Financial Stability》2013,9(4):487-497
This paper analyzes the incentive effects of special bank resolution schemes which were introduced during the recent financial crisis. These schemes allow regulators to take control over a systemically important financial institution before bankruptcy. We ask how special resolution schemes influence banks’ risk-taking and whether regulators should combine them with minimum capital requirements. We model a single bank which is supervised by a regulator who receives an imperfect signal about the bank's probability of success. We find that capital requirements are better than resolution from a welfare point of view if the quality of the signal is low, if it is difficult for the bank to attract deposits, or if the project return is low. 相似文献
7.
This paper investigates the determinants of the stocks and flows (both in- and outflows) of nonperforming loans (NPLs) by considering a bank-specific factor that is not adequately analysed in the literature, namely, bank capital buffers. Using unbalanced panel data with 6,087 bank-year observations for the 2006–2018 period and a two-step system generalised method of moments (GMM) estimation, we find that banks with higher levels of capital buffers (both in terms of Tier 1 and total capital) have fewer NPL stocks and generate fewer NPL inflows. When we control for the characteristics of the loan portfolio, real guarantees collected by the bank increase the stocks and flows of new, impaired loans, while personal guarantees favour the outflow of bad loans. 相似文献
8.
This paper studies the interaction between bank capital regulation, moral hazard and co-existence of traditional and shadow banks. Bank managers can choose between traditional banking and off-balance sheet special purpose vehicles (SPV), in a setup with deposit insurance and moral hazard. We first show that in the absence of SPV intermediation, capital requirements are ineffective at preventing the moral hazard problem originated by deposit insurance. We find that shadow banks can improve financial stability, when there is full information sharing. Finally, we analyze the case of neglected tail risk. We find that under such circumstances, the SPV will increase financial risk by exposing the system to extreme events. 相似文献
9.
我国资本市场国际化进程中的金融风险研究 总被引：4，自引：0，他引：4
结合我国资本市场国际化进程的最新进展,主要从溢出效应的冲击、波动性风险、金融危机及传染效应和金融机构的风险等方面,对这一进程中蕴含的金融风险进行了分析,最后提出了风险防范的对策。 相似文献
10.
We document a robust negative relation between operational risk exposure and bank capital levels for a sample of large U.S. banks under the Basel I Capital Accords. The results are consistent with the notion that capital-constrained banks increased operational risk exposure at the time when Basel I regulations did not require an explicit capital charge for operational risk. More broadly, our results show new channel by which financial regulations incentivize banks to shift their risk taking to less regulated risk areas. We focus on the case of operational risk because it went from a largely unregulated risk type to a major risk that accounts for about 25% of large U.S. banks’ risk-weighted assets. 相似文献
11.
The recent U.S. financial crisis and governmental bailout of financial institutions have intensified the debate on the need for effectively measuring and monitoring the financial institutions’ risks. This paper contributes to this discussion by introducing a market-based capital measurement that better captures the dynamics of bank risk and returns. Evidence confirms that these market-based capital adequacy metrics are much more sensitive to risk factors and more responsive to economic events than the traditional accounting/regulatory report based capital models, which often underestimate the true capital needs. The CDS premia, another market-bases solvency measure, seems to overreact to declines in capital adequacy. 相似文献
12.
Intervention has taken different forms in different countries and periods of time. Moreover, recent episodes showed that in front of an imminent crisis, the promise of no interventions made by governments is barely credible. In this paper we address the problem of resolving banking crises from the government perspective, taking into account the fact that preventing banking crises is crucial for the government. In addition, we introduce the moral hazard problem, inherent in the banking system, and consider the interaction between regulation, policy measures and banks’ behavior. To the best of our knowledge, this is the first paper that compares different policy plans to resolve banking crises in an environment where insufficiently capitalized banks have incentives to take risk, and the government has to decide whether to provide public services or impede crises. We show that when individuals highly value public services then the best policy in terms of welfare is to apply the tax on early withdrawals, as the government can transfer those taxes to the whole population by investing in public services (although at some cost). Conversely, when individuals assign a low value to consuming public services, recapitalization is the dominant policy. Finally, when the probability of a crisis is sufficiently high, capital requirements should be used. 相似文献
13.
This paper aims to comprehensively uncover bank risk factors from qualitative textual risk disclosures reported in financial statements, which contain a huge amount of information on bank risks. We propose a new semi‐supervised text mining approach named naive collision algorithm to analyse the textual risk disclosures, which can more accurately identify bank risk factors compared with the typical unsupervised text mining approach. We identified 21 bank risk factors in total, which is far more than identified in previous studies. We further analyse the importance of each bank risk factor and how the importance of each risk factor changes over time. 相似文献
14.
How should sovereign bailouts take account of the effects bailouts have on policy reforms? Conflicted recipient governments complicate bailout choices because some reforms that spur growth reduce rents that benefit government decision makers. Our model takes account of whether bailout generosity and policy reforms are strategic substitutes, strategic complements or both, and each case implies a different optimal bailout contract, which generally cannot achieve First Best. Conditional forgiveness of some loan payments when economic outcomes are sufficiently favorable can achieve outcomes closer to First Best, and this is so for a small ex ante amount of the bailout subsidy. 相似文献
15.
This study employs bank‐level data covering 3007 individual banks (commercial, savings, and others) in 27 Asian countries to investigate the determinants of bank liquidity creation, considering four conditional factors over the period 1999–2013: credit risk, deposit insurance, financial market regulations, and bank reforms. Bank liquidity creation is shown to be statistically and economically significantly positively related to real economic output, as well as illiquid assets and core deposits. Larger banks increase their liquid assets ratio, but decrease their credit commitment. Countries implementing an explicit deposit insurance scheme may lead to moral hazard and excessive bank risk taking. If supervisory authorities can force a bank to change its internal organizational structure, or have more power to take legal action against external auditors for negligence, or increase capital requirements, then banks generally reduce their lending activities. Nevertheless, larger banks are able to increase liquid assets and lending to those countries with stricter financial regulations. 相似文献
16.
We study the relation between bank regulation stringency and announcement effects of seasoned equity offerings across 21 countries. Under a low to moderate bank regulation environment, the market reacts more positively to the bank SEO announcements for an increase in the level of bank regulation. However, the bank SEO announcement effects become more negative if the bank regulation becomes too stringent. This inverted U-shaped relation is robust after we use the exogenous cross-country and cross-year variation in the timing of the Basel II adoption as an instrument to assess the causal impact of bank regulation on SEO announcement effects. Bank regulation has no significant impact of SEO announcement effects if the equity offering is involuntary. 相似文献
17.
Bank Consolidation, Internationalization, and Conglomeration: Trends and Implications for Financial Risk 总被引：3，自引：0，他引：3
This paper documents trends in bank activity, consolidation, internationalization, and financial firm conglomeration with data on more than 100 countries, and explores the extent to which financial firm risk and systemic risk potential in banking are related to consolidation and conglomeration. The relationship between consolidation, conglomeration and financial risk is documented using financial data on the largest 500 financial firms worldwide and on large banks in about 90 countries. We find that (a) large conglomerate firms did not exhibit levels of risk‐taking lower than smaller and specialized firms in 1995, while they exhibited higher levels of risk‐taking in 2000; (b) highly concentrated banking systems exhibited levels of systemic risk potential higher than less concentrated systems during the 1993–2000 period, and this relationship has strengthened during the 1997–2000 period. We outline research directions aimed at explaining why bank consolidation and conglomeration may not necessarily yield either safer financial firms or more resilient banking systems. 相似文献
18.
集团公司财务风险防范及控制 总被引：3，自引：0，他引：3
王素荣 《中央财经大学学报》2004,(10):76-80
企业集团的建立是基于减少经营风险、避免法律障碍、便于技术交流和开拓国内外市场业务等有利条件,其中,减少经营风险是最直接的原因.而企业的经营风险又最终会表现为财务上的损失,因此,集团公司财务风险的防范和控制非常重要.本文重点论述广义财务风险中的道德风险和经营过程中财务风险的防范和控制措施. 相似文献
19.
In this paper, we propose a risk-based model for deposit insurance premiums and provide the closed-form formula for premiums, including early closure, capital forbearance, interest rate risk, and moral hazard. Our numerical analysis confirms the proposed pricing formula and the relative impact of the provisions for deposit insurance premiums. We illustrate how to use credit default swaps (CDSs) to manage the bank’s asset risk corresponding to the deposit insurance model. A failed bank, Washington Mutual, is used to demonstrate how to calibrate the model’s parameters and calculate fair premiums that are consistent with market risks on the basis of our proposed model and credit derivatives. Finally, a numerical experiment is designed to determine the optimal hedge ratio, which can minimise the variance of cash-flow of the deposit insurance corporations. 相似文献
20.
美国银行业压力测试最新实践的经验与启示 总被引：2，自引：0，他引：2
金融危机以来,压力测试作为现有风险管理技术的重要补充,受到了广泛的关注。本文介绍了银行业压力测试的基本定义、宗旨理念、步骤程序、结论的关注点与积极作用,深入研究了美国银行业压力测试最新实践的设计和实施框架,总结了压力测试范围、情景设置、组织与资源保障、信息披露与应对措施等方面值得我国借鉴的经验,进而提出我国银行业压力测试在数据方法、覆盖范围、治理结构与结果应用等方面的建议。 相似文献