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Displaying results 1 to 25 of 109.

  1. Basel III and bank-lending
    evidence from the United States and Europe
    Author: Ben Naceur, Samy; Roulet, Caroline
    Published: November 2017
    Publisher:  International Monetary Fund, [Washington, D.C.]

    Using data on commercial banks in the United States and Europe, this paper analyses the impact of the new Basel III capital and liquidity regulation on bank-lending following the 2008 financial crisis. We find that U.S. banks reinforce their risk... more

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    Using data on commercial banks in the United States and Europe, this paper analyses the impact of the new Basel III capital and liquidity regulation on bank-lending following the 2008 financial crisis. We find that U.S. banks reinforce their risk absorption capacities when expanding their credit activities. Capital ratios have significant, negative impacts on bank-retail-and-other-lending-growth for large European banks in the context of deleveraging and the 'credit crunch' in Europe over the post-2008 financial crisis period. Additionally, liquidity indicators have positive but perverse effects on bank-lending-growth, which supports the need to consider heterogeneous banks' characteristics and behaviors when implementing new regulatory policies

     
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  2. The leverage ratio, risk-taking and bank stability
    Author: Smith, Jonathan Acosta; Grill, Michael; Lang, Jan Hannes
    Published: November 2018
    Publisher:  Bank of England, London

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Staff working paper / Bank of England ; no. 766
    Subjects: Bank capital; risk-taking; leverage ratio; Basel III
    Scope: 1 Online-Ressource (circa 74 Seiten), Illustrationen
  3. Systemstabilität für die Finanzmärkte
    Contributor: Donges, Juergen B. (Mitwirkender)
    Published: 2011
    Publisher:  Stiftung Marktwirtschaft, Berlin

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  4. Liquidity regulation, the central bank and the money market
    Author: Körding, Julia; Scheubel, Beatrice
    Published: [2018]
    Publisher:  De Nederlandsche Bank NV, Amsterdam, the Netherlands

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    Series: Working paper / De Nederlandsche Bank NV ; no. 596 (May 2018)
    Subjects: regulation; Basel III; central bank; interbank lending; money market; asymmetric information
    Scope: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  5. Rethinking financial stability
    Author: Aikman, David; Haldane, Andrew G.; Hinterschweiger, Marc; Kapadia, Sujit
    Published: February 2018
    Publisher:  Bank of England, London

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    Media type: Book
    Format: Online
    Series: Staff working paper / Bank of England ; no. 712
    Subjects: Financial stability; macroprudential policy; Basel III; capital requirements; liquidity requirements
    Scope: 1 Online-Ressource (circa 62 Seiten), Illustrationen
  6. Basel III capital requirements and heterogeneous banks
    Author: Müller, Carola
    Published: [16. August 2018]
    Publisher:  Halle Institute for Economic Research (IWH) - Member of the Leibniz Association, Halle (Saale)

    I develop a theoretical model to examine the effect of capital requirements on risk taking and market structure of banks. Within a portfolio choice model, I allow for heterogeneous productivity among banks and consider the simultaneous capital... more

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    I develop a theoretical model to examine the effect of capital requirements on risk taking and market structure of banks. Within a portfolio choice model, I allow for heterogeneous productivity among banks and consider the simultaneous capital regulation with a leverage ratio and a risk-weighted ratio. Regulators face a trade-off between the efficient allocation of resources and financial stability. In an oligopolistic market, risk-weighted requirements incentivise banks with high productivity to lend to low-risk firms. When a leverage ratio is introduced, these banks lose market shares to less productive competitors and react with risk-shifting into high-risk loans. While average productivity in the low-risk market falls, market shares in the high-risk market are dispersed across new entrants with high as well as low productivity.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/181438
    Edition: This version: October 2018
    Series: IWH discussion papers ; 2018, no. 14 (August 2018)
    Subjects: banking regulation; heterogeneous banks; banking competition; capital requirements; leverage ratio; Basel III
    Scope: 1 Online-Ressource (III, 42 Seiten, 1,78 MB), Diagramme
  7. Embedded supervision
    how to build regulation into decentralised finance
    Author: Auer, Raphael A.
    Published: May 2022
    Publisher:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    The emergence of so-called "decentralised finance" (DeFi) and a shadow financial system of cryptocurrency exchanges and stablecoin issuers raises the challenge of how to apply technology-neutral regulation so that similar risks are subject to the... more

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    The emergence of so-called "decentralised finance" (DeFi) and a shadow financial system of cryptocurrency exchanges and stablecoin issuers raises the challenge of how to apply technology-neutral regulation so that similar risks are subject to the same rules. This paper makes the case for embedded supervision, ie a regulatory framework that provides for compliance in decentralised markets to be automatically monitored by reading the market’s ledger. This reduces the need for firms to actively collect, verify and deliver data. The paper explores the conditions under which distributed ledger data may be used to monitor compliance. To this end, a decentralised market is modelled that replaces today's intermediary-based verification of legal data with blockchain-enabled credibility based on economic consensus. The key results set out the conditions under which the market’s economic consensus would be strong enough to guarantee that transactions are economically final, so that supervisors can trust the distributed ledger’s data. The paper concludes with a discussion of the legislative and operational requirements that would promote low-cost supervision and a level playing field for small and large firms.

     
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    hdl: 10419/263701
    Series: CESifo working paper ; no. 9771 (2022)
    Subjects: decentralised finance; DeFi; tokenisation; asset-backed tokens; stablecoins; crypto-assets; cryptocurrencies; CBDC; regtech; suptech; regulation; supervision; Basel III; proportionality; blockchain; distributed ledger technology; digital currencies; proof
    Scope: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  8. Usability of bank capital buffers
    the role of market expectations
    Author: Abad, José M.; Garcia Pascual, Antonio
    Published: 2022 JAN
    Publisher:  International Monetary Fund, [Washington, D.C.]

    Following the COVID shock, supervisors encouraged banks to use capital buffers to support the recovery. However, banks have been reluctant to do so. Provided the market expects a bank to rebuild its buffers, any draw-down will open up a capital... more

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    Following the COVID shock, supervisors encouraged banks to use capital buffers to support the recovery. However, banks have been reluctant to do so. Provided the market expects a bank to rebuild its buffers, any draw-down will open up a capital shortfall that will weigh on its share price. Therefore, a bank will only decide to use its buffers if the value creation from a larger loan book offsets the costs associated with a capital shortfall. Using market expectations, we calibrate a framework for assessing the usability of buffers. Our results suggest that the cases in which the use of buffers make economic sense are rare in practice

     
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  9. Zimbabwe
    technical assistance report : Basel III implementation
    Published: March 2022
    Publisher:  International Monetary Fund, Washington, D.C.

    As a follow-up to the 2019 FSSR, a remote TA mission supported the RBZ with the implementation of Basel III liquidity standards. The mission reviewed the RBZ drafts of the LCR and NSFR frameworks, discussed identified material gaps with the BSD... more

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    As a follow-up to the 2019 FSSR, a remote TA mission supported the RBZ with the implementation of Basel III liquidity standards. The mission reviewed the RBZ drafts of the LCR and NSFR frameworks, discussed identified material gaps with the BSD management and relevant supervisors, and provided many recommendations on enhancing the drafts of liquidity regulations, monitoring tools, reporting templates, and disclosure. Further actions for implementing Basel III liquidity standards were agreed with the RBZ

     
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  10. Higher capital requirements and credit supply
    evidence from Italy
    Author: Galardo, Maddalena; Vacca, Valerio
    Published: [2022]
    Publisher:  Banca d'Italia Eurosistema, [Rom]

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    Source: Union catalogues
    Language: English
    Media type: Book
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    Series: Temi di discussione / Banca d'Italia ; number 1372 (June 2022)
    Subjects: financial institutions; Basel III; capital requirements; forced safety effect; lending conditions
    Scope: 1 Online-Ressource (circa 90 Seiten), Illustrationen
  11. Minimum capital requirements for market risk
    an overview and critical analysis of the standardized approaches under Basel III
    Author: Best, Stefan
    Published: June 25, 2021
    Publisher:  wifin, Wiesbaden Institute of Finance and Insurance, RheinMain University of Applied Sciences, [Wiesbaden]

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    Source: Union catalogues
    Language: English
    Media type: Book
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    Other identifier:
    hdl: 10419/266230
    Series: WIFIN working paper ; 10 (2021)
    Subjects: Basel III; Standardized Approach; Market Risk; Minimum capital requirements
    Scope: 1 Online-Ressource (circa 68 Seiten)
  12. Capital requirements, market structure, and heterogeneous banks
    Author: Müller, Carola
    Published: [12. Mai 2022]
    Publisher:  Halle Institute for Economic Research (IWH) - Member of the Leibniz Association, Halle (Saale), Germany

    Bank regulators interfere with the efficient allocation of resources for the sake of financial stability. Based on this trade-off, I compare how different capital requirements affect default probabilities and the allocation of market shares across... more

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    Bank regulators interfere with the efficient allocation of resources for the sake of financial stability. Based on this trade-off, I compare how different capital requirements affect default probabilities and the allocation of market shares across heterogeneous banks. In the model, banks‘ productivity determines their optimal strategy in oligopolistic markets. Higher productivity gives banks higher profit margins that lower their default risk. Hence, capital requirements indirectly aiming at highproductivity banks are less effective. They also bear a distortionary cost: Because incumbents increase interest rates, new entrants with low productivity are attracted and thus average productivity in the banking market decreases.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    hdl: 10419/256924
    Series: IWH discussion papers ; 2022, no. 15 (May 2022)
    Subjects: bank competition; bank regulation; Basel III; capital requirements; heterogeneous banks; leverage ratio
    Scope: 1 Online-Ressource (III, 54 Seiten, 2,55 MB), Diagramm
  13. Basel III and SME bank finance in Germany
    Author: Marek, Philipp; Stein, Ingrid
    Published: [2022]
    Publisher:  Deutsche Bundesbank, Frankfurt am Main

    This paper examines how Basel III capital reforms affected bank lending in Ger- many. We focus on the increase of minimum risk-based capital requirements and the introduction of the leverage ratio. The announcement of stricter risk-based capital... more

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    This paper examines how Basel III capital reforms affected bank lending in Ger- many. We focus on the increase of minimum risk-based capital requirements and the introduction of the leverage ratio. The announcement of stricter risk-based capital regulation significantly affected low capitalized banks. The impact depends on a bank's credit risk model, i.e. whether a bank applies the standardized approach (SA) or an internal ratings-based approach (IRBA) to determine risk weights. Low capitalized SA banks significantly cut lending whereas IRBA banks did not ad- just lending volumes. By contrast, low capitalized IRBA banks significantly in- creased collateralization while low capitalized SA banks adjusted collateralization only marginally. Moreover, the impact on SMEs and large companies also differs. In terms of lending, SMEs were affected more strongly, whilst in terms of collateralization the impact on large companies was bigger. The announcement of the leverage ratio had, however, a rather limited impact. We find some evidence that low capitalized banks reduced lending. Furthermore, low capitalized banks somewhat tightened collateral requirements, especially for large companies.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
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    ISBN: 9783957299147
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    hdl: 10419/265433
    Series: Discussion paper / Deutsche Bundesbank ; no 2022, 37
    Subjects: Basel III; bank lending; nancial regulation; small and medium-sizedenterprises (SMEs)
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  14. Do distressed banks really gamble for resurrection?
    Author: Ben-David, Itzhak; Palvia, Ajay; Stulz, René M.
    Published: May 2019
    Publisher:  National Bureau of Economic Research, Cambridge, MA

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    Source: Union catalogues
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    Series: Working paper series / National Bureau of Economic Research ; 25794
    Subjects: Basler Akkord; Bankrisiko; Bankenkrise; Bankenaufsicht; Finanzkrise; Basel II; Basel III; Risk weights; Regulatory capital
    Scope: 66 Seiten, Illustrationen
    Notes:

    Erscheint auch als Online-Ausgabe
  15. Basel III implementation and SME financing
    evidence for emerging markets and developing economies
    Author: Fišera, Boris; Horváth, Roman; Melecký, Martin
    Published: December 2019
    Publisher:  World Bank Group, Finance, Competitiveness and Innovation Global Practice, [Washington, DC, USA]

    This paper examines the effect of Basel III implementation on the access to finance of small and medium-size enterprises in 32 emerging markets and developing economies. Analyzing rich, repeated cross-sectional data and a panel of matched firm-bank... more

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    This paper examines the effect of Basel III implementation on the access to finance of small and medium-size enterprises in 32 emerging markets and developing economies. Analyzing rich, repeated cross-sectional data and a panel of matched firm-bank data in a difference-in-differences setting with sample selection adjustment, the authors find a short-term, moderately negative effect of Basel III on small and medium-size enterprises' access to financing. The results suggest that firms with access to bank credit prior to Basel III implementation could have been affected less than firms that were initially on the fringes of financial inclusion-firms with only a bank account. The paper fails to find any additional heterogeneous effects across firm size or age, bank capitalization or liquidity, or across countries that transitioned to Basel III from Basel II versus Basel 2.5. Overall, the initial conditions of the banking system as well as of complementary business and financial regulation can co-determine the size of short-term costs from the newly implemented global financial regulation in emerging markets and developing economies

     
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    Language: English
    Media type: Book
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    Series: Policy research working paper ; 9069
    World Bank E-Library Archive
    Subjects: Basel III; banks; financial regulation; small and medium-size enterprises (SMEs); financing; firm-level data; impact evaluation; difference-in-differences estimator
    Scope: 1 Online-Ressource (circa 58 Seiten), Illustrationen
  16. Liquidity coverage ratio in a payments network
    uncovering contagion paths
    Author: Heuver, Richard; Berndsen, Ron
    Published: [2020]
    Publisher:  De Nederlandsche Bank NV, Amsterdam, the Netherlands

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    Series: Working paper / De Nederlandsche Bank NV ; no. 678 (March 2020)
    Subjects: Liquidity Coverage; Basel III; payment systems; graph theory; simulation modeling
    Scope: 1 Online-Ressource (circa 25 Seiten), Illustrationen
  17. Financial cycles, credit bubbles and stabilization policies
    Author: Corrado, Luisa; Schuler, Tobias
    Published: [2019]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    This paper analyzes the effects of several policy instruments for mitigating financial bubbles generated in the banking sector. We augment a New Keynesian macroeconomic framework by endogenizing boundedly-rational expectations on asset values of loan... more

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    This paper analyzes the effects of several policy instruments for mitigating financial bubbles generated in the banking sector. We augment a New Keynesian macroeconomic framework by endogenizing boundedly-rational expectations on asset values of loan portfolios, allow for interbank trading and show how a credit bubble can develop from a financial innovation. We then evaluate the efficacy of several policy instruments in counteracting financial bubbles. We find that an endogenous capital requirement reduces the impact of a financial bubble significantly while central bank intervention ("leaning against the wind") proves to be less effective. A welfare analysis ranks the policy reaction through an endogenous capital requirement highest. We therefore provide a rationale for the use of countercyclical capital buffers.

     
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    ISBN: 9789289939058
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    hdl: 10419/228214
    Series: Working paper series / European Central Bank ; no 2336 (December 2019)
    Subjects: Basel III; credit-to-GDP gap; CCyB
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  18. Forward-looking effective tax rates in the banking sector
    Author: Zangari, Ernesto; Pisano, Elena
    Published: [2019]
    Publisher:  Banca d'Italia Eurosistema, [Rom]

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    Series: Temi di discussione / Banca d'Italia ; number 1236 (October 2019)
    Subjects: taxation; banks; effective tax rates; EMTR; EATR; allowance for corporateequity; Basel III; loan loss provisions; deferred tax assets
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  19. An empirical analysis of factors responsible for the use of capital market instruments in infrastructure project finance
    Author: Rao, Vivek
    Published: [2020]
    Publisher:  Asian Development Bank Institute, Tokyo, Japan

    The paper provides an empirical analysis of factors affecting the use of capital market instruments for financing infrastructure public-private partnership (PPP) projects. The findings of the paper contain useful policy guidance as the data provides... more

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    The paper provides an empirical analysis of factors affecting the use of capital market instruments for financing infrastructure public-private partnership (PPP) projects. The findings of the paper contain useful policy guidance as the data provides some evidence to suggest that banks play a role in crowding-out bond finance. This is due to the traditionally close relationships banks enjoy with projects which allow them an advantage over bonds. Banks typically finance projects at financial close and bonds refinance banks after projects are operational. The findings are in accordance with the Asian Development Bank's (ADB's) experience in promoting the use of capital market instruments to finance PPP infrastructure projects. Accordingly, the findings suggest that, more than underwriting greenfield risk, MDBs have a role to play in supporting bond holders through risk mitigation, project appraisal and project structuring, as bond holders are less capable of mitigating and absorbing project risk than banks.

     
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    Series: ADBI working paper series ; no. 1101 (March 2020)
    Subjects: Basel III; infrastructure project finance; capital markets
    Scope: 1 Online-Ressource (circa 43 Seiten)
  20. Variability in risk-weighted assets
    what does the market think?
    Author: Santos, Edson Bastos e; Esho, Neil; Farag, Marc; Zuin, Christopher
    Published: 2020
    Publisher:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Media type: Book
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    Series: BIS working papers ; no 844 (February 2020)
    Subjects: bank regulation; capital; Basel III; risk-weighted assets; financial stability
    Scope: 1 Online-Ressource (circa 55 Seiten), Illustrationen
  21. Assessing the impact of Basel III on bank behaviour
    a micro-founded approach
    Author: Pépy, Jérémy; Williams, Benjamin
    Published: [2018]
    Publisher:  Centre d'etudes et de recherches sur le developpement international, Clermont-Ferrand

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    Media type: Book
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    Series: Études et documents / Centre d'etudes et de recherches sur le developpement international ; 2018, no 8 (July 2018)
    Subjects: Basel III; Regulation; Bank behaviour; Regulatory distortions
    Scope: 1 Online-Ressource (circa 23 Seiten)
  22. Bank risk appetite in a world of CoCos
    Author: Aquila, Cecilia
    Published: October 5, 2018

    We investigate the shape of risk appetite when the bank is financed also with contingent convertible bonds (CoCos). Our contribution to the existent literature is to assess risk appetite in a multi-dimensional perspective and to account for... more

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    We investigate the shape of risk appetite when the bank is financed also with contingent convertible bonds (CoCos). Our contribution to the existent literature is to assess risk appetite in a multi-dimensional perspective and to account for differences among banks' clusters, especially in a world with CoCos and policy rates approaching zero or negative figures. In our model, the bank objective function is given by the sum of the default put option and the down-and-out call (DOC) option, pricing the net present value of growth opportunities. The manager maximizes the market value of the bank, adjusting jointly the level of leverage, the amount of CoCos to issue, assets and franchise value volatility and the policy rate. Risk appetite is given by the first order derivatives. Our model and Basel III recommendation converge over their incentives regarding volatility and leverage. For banks with higher franchise value, it is optimal to issue an average amount of CoCos (over the market value of the assets) of 3%. A decrease in volatility accrues to the DOC option, in particular for under capitalized banks. The optimal policy rate is always higher with respect to the actual one. The optimal value for the decision variables differs among the clusters. We show that for the bank, it is always better to issue CoCos with respect to write-down bonds. We conduct an empirical analysis on the whole spectrum of CoCos and WDs available over the time span 2009 - September 2015. We argue that the impact of those hybrid instruments on the bank investment policy is non- monotonic. It is described by a U-shaped curve for bank riskiness and by a inverted-U curve for bank growth.

     
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    Language: English
    Media type: Dissertation
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    Subjects: Contingent convertible bonds; Risk appetite; Franchise value; Basel III; Growth opportunities; Impact; Tier 1 hybrids; Tier 2 hybrids
    Scope: 1 Online-Ressource (circa 128 Seiten), Illustrationen
    Notes:

    Enthält 3 Beiträge

    Dissertation, Università della Svizzera Italiana, 2018
  23. Risk of window dressing
    quarter-end spikes in the Japanese yen Libor-OIS spread
    Author: Kikuchi, Mayu; Wong González, Alfredo; Zhang, Jiayue
    Published: [2019]
    Publisher:  Hong Kong Institute for Monetary and Financial Research, Hong Kong

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    Series: HKIMR working paper ; 2019, no. 15 (November 2019)
    Subjects: Libor-OIS spread; negative interest rate; liquidity risk; Basel III
    Scope: 1 Online-Ressource (circa 25 Seiten), Illustrationen
  24. Embedded supervision
    how to build regulation into blockchain finance
    Author: Auer, Raphael A.
    Published: 04 November 2019
    Publisher:  Centre for Economic Policy Research, London

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    Universitätsbibliothek Mannheim
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    Media type: Book
    Format: Online
    Series: Array ; DP14095
    Subjects: tokenisation; stablecoins; cryptocurrencies; regtech; Basel III; blockchain; central bank digital currencies; economic finality
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  25. A dilemma between liquidity regulation and monetary policy
    some history and theory
    Author: Monnet, Eric; Vari, Miklos
    Published: 06 July 2020
    Publisher:  Centre for Economic Policy Research, London

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    Media type: Book
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    Series: Array ; DP15001
    Subjects: liquidity ratios; reserve requirements; Basel III; Monetary policy implementation; Liquidity coverage ratio (LCR); central bank history
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen