Arbeitspapier
Capital Regulation and Tail Risk
The paper studies risk mitigation associated with capital regulation, in a context when banks may choose tail risk assets. We show that this undermines the traditional result that higher capital reduces excess risk-taking driven by limited liability. When capital raising is costly, poorly capitalized banks may limit risk to avoid breaching the minimal capital ratio. A bank with higher capital has lesschance of breaching the ratio, so may actually take more risk. As a result, banks which have access to tail risk projects may take greater risk when highly capitalized.The results are consistent with stylized facts about pre-crisis bank behavior, and suggest implications for the optimal design of capital regulation.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 11-039/2/DSF14
- Klassifikation
-
Wirtschaft
Economic Development: Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
- Thema
-
Bank Regulation
Risk Shifting
Capital Requirements
Tail Risk
Systemic Risk
Bankrisiko
Basler Akkord
Bankenliquidität
Bankenregulierung
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Perotti, Enrico
Ratnovski, Lev
Vlahu, Razvan
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Perotti, Enrico
- Ratnovski, Lev
- Vlahu, Razvan
- Tinbergen Institute
Entstanden
- 2011
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