Arbeitspapier

Incentives for Effective Risk Management

Under the new Capital Accord, banks choose between two different types of risk management systems, the standard or the internal rating based approach. The paper considers how a bank's preference for a risk management system is affected by the presence of supervision by bank regulators. The model uses a principal–agent setting between a bank's owner and its risk management. The main conclusion is that previously unregulated institutions can be expected to switch to the lower quality standard approach subsequent to becoming regulated, i.e., the presence of regulation may induce a bank to decrease the quality of its risk management system.

Language
Englisch

Bibliographic citation
Series: Tinbergen Institute Discussion Paper ; No. 01-094/2

Classification
Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Financial Institutions and Services: Government Policy and Regulation
Subject
Risk management systems
Regulation
Value-at-Risk
Basel-II
Risikomanagement
Kreditrisiko
Bankenaufsicht
Basler Akkord

Event
Geistige Schöpfung
(who)
Daníelsson, Jón
Jorgensen, Bjørn N.
de Vries, Casper G.
Event
Veröffentlichung
(who)
Tinbergen Institute
(where)
Amsterdam and Rotterdam
(when)
2001

Handle
Last update
10.03.2025, 11:42 AM CET

Data provider

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Object type

  • Arbeitspapier

Associated

  • Daníelsson, Jón
  • Jorgensen, Bjørn N.
  • de Vries, Casper G.
  • Tinbergen Institute

Time of origin

  • 2001

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