The Basel Accord and The Value of Bank Differentiation

Abstract : The authors investigate optimal capital requirements in a model in which banks decide on their investment in credit scoring systems. The main result is that regulators should encourage sophisticated banks to keep their asset portfolios safe, while assets with high systematic risk should be concentrated in smaller banks. The proposed regulatory differentiation follows the Basel Accord's distinction between internal ratings-based approach and standard approach. Sophisticated banks should increase their equity capital relative to other banks, leading to further size differentiation. The moral hazard problem of banks misrepresenting their loan portfolio risk is analyzed, with the result that it induces stricter capital requirements.
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Article dans une revue
Review of Finance, Oxford University Press (OUP): Policy F - Oxford Open Option D, 2012, 16 (4), pp.1043-1092. 〈10.1093/rof/rfr002〉
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Contributeur : Amaury Bouvet <>
Soumis le : mercredi 3 octobre 2012 - 19:34:40
Dernière modification le : jeudi 11 janvier 2018 - 06:19:31

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Ulrich Hege, Eberhard Feess. The Basel Accord and The Value of Bank Differentiation. Review of Finance, Oxford University Press (OUP): Policy F - Oxford Open Option D, 2012, 16 (4), pp.1043-1092. 〈10.1093/rof/rfr002〉. 〈hal-00738261〉

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