Bank Capital Standards for Market Risk: A Welfare Analysis *

DOI10.1023/A:1009705608627MaRDI QIDQ4264091zbMATH OpenOpenAlexFDO

Authors

Publication date 16 September 1999

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1009705608627

zbMATH Keywords

market riskportfolio riskalternative bank capital regulatory proposals

Mathematics Subject Classification ID

Recommendations

• Welfare implications of bank capital requirements under dynamic default decisions
• Unintended consequences of the market risk requirement in banking regulation
• Optimal design of bank regulation under aggregate risk
• State-contingent bank regulation with unobserved actions and unobserved characteristics
• OR forum: Design of risk weights

Cited in

(14)

• Welfare implications of bank capital requirements under dynamic default decisions
• Capital requirements, acceptable risks and profits
• Bank capital, fire sales, and the social value of deposits
• Unintended consequences of the market risk requirement in banking regulation
• State-contingent bank regulation with unobserved actions and unobserved characteristics
• Excess capital, operational disaster risk, and capital requirements for banks
• The welfare costs of bank regulation by deposit rate ceilings
• Bank capital regulation with random audits.
• Bank regulation when both deposit rate control and capital requirements are socially costly
• Optimal design of bank regulation under aggregate risk
• The Basel accord and the value of bank differentiation
• Proprietary trading losses in banks: do banks invest sufficiently in control?
• scientific article; zbMATH DE number 7059410 (Why is no real title available?)
• Capital Buffers in a Quantitative Model of Banking Industry Dynamics

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