Reviewing Bank Regulatory Objectives Under Uncertail Information
A bank liquidation policy problem is analysed within a Merton framework where an appropriate notion of capital adequacy is introduced. The value of the deposit insurance liabilities and bank equity are derived. The effects of capital requirements on risk-shifting and bank reorganization are discussed, with a comparison of different regulatory regimes (in keeping with the Basel I and II Accords) and their impact on banks’ behaviour.
Volume (Year): LXV (2010)
Issue (Month): 100 ()
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