کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
967278 931184 2006 30 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approach
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approach
چکیده انگلیسی
We examine the economic implications arising from a bank using a VaR-constrained mean-variance model for the selection of its trading portfolio as a consequence of the Basle Capital Accord. Surprisingly, we show that when a VaR constraint is imposed, it is plausible that certain banks will end up selecting 'riskier' portfolios than they would have chosen in the absence of the constraint. Accordingly, regulators such as the Basle Committee on Banking Supervision should be aware that allowing a bank to use VaR to determine its minimum regulatory capital may increase its fragility. Alternatives to VaR-based bank capital regulation that mitigate or even preclude its perverse implications are presented.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Monetary Economics - Volume 53, Issue 7, October 2006, Pages 1631-1660
نویسندگان
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