| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11666 |
| 来源ID | Working Paper 11666 |
| Pillar 1 vs. Pillar 2 Under Risk Management | |
| Loriana Pelizzon; Stephen Schaefer | |
| 发表日期 | 2005-10-03 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | Under the New Basel Accord bank capital adequacy rules (Pillar 1) are substantially revised but the introduction of two new "Pillars" is, perhaps, of even greater significance. This paper focuses on Pillar 2 which expands the range of instruments available to the regulator when intervening with banks that are capital inadequate and investigates the complementarity between Pillar 1 (risk-based capital requirements) and Pillar 2. In particular, the paper focuses on the role of closure rules when recapitalization is costly. In the model banks are able to manage their portfolios dynamically and their decisions on recapitalization and capital structure are determined endogenously. A feature of our approach is to consider the costs as well as the benefits of capital regulation and to accommodate the behavioral response of banks in terms of their portfolio strategy and capital structure. The paper argues that problems of capital adequacy are minor unless, in at least some states of the world, banks are able to violate the capital adequacy rules. The paper shows how the role of Pillar 2 depends on the effectiveness of capital regulation, i.e., the extent to which banks can "cheat". |
| 主题 | Financial Economics ; Financial Institutions |
| URL | https://www.nber.org/papers/w11666 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/569312 |
| 推荐引用方式 GB/T 7714 | Loriana Pelizzon,Stephen Schaefer. Pillar 1 vs. Pillar 2 Under Risk Management. 2005. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w11666.pdf（349KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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