کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7356707 | 1478288 | 2018 | 35 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Distance to compliance portfolios: An integrated shortfall measure for basel III
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We apply our framework to two hypothetical banks and find that they achieve compliance by growth strategies without cutting lending. We corroborate that shareholders choose different compliance strategies than managers, emphasizing the importance of setting managers' incentives carefully. We compare our results to findings from impact studies that are not model-based and do not consider the interactions of the Basel III ratios. We observe that the synergies of LCR and NSFR are the most pronounced ones but of secondary order in absolute magnitude. This means that measuring “Distance to Compliance” on a ratio-by-ratio basis omitting synergies, as often done by regulators, does not introduce a major bias.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 87, February 2018, Pages 87-101
Journal: Journal of Banking & Finance - Volume 87, February 2018, Pages 87-101
نویسندگان
Christian Schmaltz, Thomas Heidorn, Ingo Torchiani,