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Risque, diversité bancaire et réglementation optimale

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  • Noëlle Bonnet
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    Abstract

    [fre] L'objet de cet article est d'étudier quelle doit être la réglementation bancaire si l'objectif du régulateur est de garantir la stabilité de ce secteur, dans l'hypothèse où le niveau de risque des banques est inobservable. Notre cadre d'analyse utilise donc les modèles « principal-agent », afin d'intégrer une procédure de révélation. Les banques vont être incitées à révéler leur niveau de risque, ce qui va permettre au régulateur de définir le niveau de fonds propres adéquat. Notre modèle montre qu'à chaque niveau de risque doit non seulement correspondre un ratio de solvabilité, mais aussi une notation par une agence de rating validant le niveau de risque annoncé. L'utilisation des modèles internes, désormais autorisés par la réglementation bancaire, doit donc être validée par un indicateur de risque. [eng] The purpose of this article is to define bank regulation when the regulator objective is to guarantee the financial sector stability. We assume the risk level of banks unknown. We work with Principal-Agent models in order to integrate revelation principles. Banks are thus induce to announce their risk level, which will allow the regulator to define an appropriate capital level. This model demonstrate that to each risk level, must be joint a solvency ratio, but also that it must be validated by a notation agency. The use of interns models, allowed by prudential regulation, must be attested by a risk indicator.

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    File URL: http://dx.doi.org/10.3406/rfeco.1998.1059
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    Bibliographic Info

    Article provided by Programme National Persée in its journal Revue française d'économie.

    Volume (Year): 13 (1998)
    Issue (Month): 2 ()
    Pages: 311-341

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    Handle: RePEc:prs:rfreco:rfeco_0769-0479_1998_num_13_2_1059

    Note: DOI:10.3406/rfeco.1998.1059
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    Web page: http://www.persee.fr/web/revues/home/prescript/revue/rfeco

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