Strategic Selection of Risk Models and Bank Capital Regulation
Published Online:29 Jan 2018https://doi.org/10.1287/mnsc.2017.2898
References
- (2014) Inconsistent regulators: Evidence from banking. Quart. J. Econom. 129(2):889–938.Crossref, Google Scholar
- (2008) Optimal delegation. Rev. Econom. Stud. 75(1):259–293.Crossref, Google Scholar
- (1984) Regulation, asymmetric information, and auditing. RAND J. Econom. 15(4):447–470.Crossref, Google Scholar
- Basel Committee on Banking Supervision (1996) Supervisory framework for the use of “backtesting” in conjunction with the internal models approach to market risk capital requirements.Google Scholar
- Basel Committee on Banking Supervision (2013a) Regulatory consistency assessment programme (RCAP)—Analysis of risk-weighted assets for credit risk in the banking book. Report, Bank for International Settlements, Basel, Switzerland.Google Scholar
- Basel Committee on Banking Supervision (2013b) Regulatory consistency assessment programme—Analysis of risk-weighted assets for market risk. Report, Bank for International Settlements, Basel, Switzerland.Google Scholar
- Basel Committee on Banking Supervision (2013c) The regulatory framework: Balancing risk sensitivity, simplicity and comparability. Report, Bank for International Settlements, Basel, Switzerland.Google Scholar
- (2017) The strategic under-reporting of bank risk. Rev. Financial Stud. 30(10): 3376–3415.Crossref, Google Scholar
- (2016) The limits of model-based regulation. ECB Working Paper 1928, European Central Bank, Frankfurt am main, Germany.Google Scholar
- (2002) How accurate are value-at-risk models at commercial banks? J. Finance 57(3):1093–1111.Crossref, Google Scholar
- (2008) Why “Basel II” may need a leverage ratio restriction. J. Banking Finance 32(8):1699–1707.Crossref, Google Scholar
- (1992) Is fairly priced deposit insurance possible? J. Finance 47(1):227–245.Crossref, Google Scholar
- (2013) The risk map: A new tool for validating risk models. J. Banking Finance 37(10):3843–3854.Crossref, Google Scholar
- (2006) An analysis of VaR-based capital requirements. J. Financial Intermediation 15(3):362–394.Crossref, Google Scholar
- (2016) Why risk is so hard to measure. DNB Working Paper 494, De Nederlandsche Bank NV, Amsterdam.Google Scholar
- (2014) Deposit insurance database. Policy Research Working Paper Series 6934, The World Bank, Washington, DC.Crossref, Google Scholar
- (2008) How unlucky is 25-sigma? J. Portfolio Management 34(4):76–80.Crossref, Google Scholar
- (2015) Arbitraging the Basel securitization framework: Evidence from German ABS investment. Working paper, HEC Paris, Jouy-en-Josas, France.Google Scholar
- (2016) The economics of bank supervision. Staff Report 769, Federal Reserve Bank of New York, New York.Google Scholar
- European Banking Authority (2013) Third interim report on the consistency of risk-weighted assets. Report, European Banking Authority, London.Google Scholar
- (2012) The Basel accord and the value of bank differentiation. Rev. Finance 16(4):1043–1092.Crossref, Google Scholar
- (2016) Are banks’ internal risk parameters consistent? Evidence from syndicated loans. J. Financial Services Res. 50(2):211–242.Crossref, Google Scholar
- (1993) An incentive approach to banking regulation. J. Finance 48(4):1523–42.Crossref, Google Scholar
- (2000) A comparative anatomy of credit risk models. J. Banking Finance 24(1–2):119–149.Crossref, Google Scholar
- (2011) Bank size and risk-taking under Basel II. J. Banking Finance 35(6):1436–1449.Crossref, Google Scholar
- (2014) How to get banks to take less risk and disclose bad news. J. Financial Intermediation 23(4):437–470.Crossref, Google Scholar
- (2017) Responding to regulatory uncertainty: Evidence from Basel III. Ross School of Business Paper 1213, University of Michigan, Ann Arbor.Google Scholar
- (2014) Does a leverage ratio requirement increase bank stability? J. Banking Finance 39(February):240–254.Crossref, Google Scholar
- (1995) A pre-commitment approach to capital requirements for market risk. Proceedings 475, Federal Reserve Bank of Chicago, Chicago.Google Scholar
- (1989) Optimal contracts under costly state falsification. J. Political Econom. 97(6):1345–1363.Crossref, Google Scholar
- (2001) Evaluating the Basle guidelines for backtesting banks’ internal risk management models. J. Money, Credit Banking 33(3):826–846.Crossref, Google Scholar
- (2014) The manipulation of Basel risk-weights. Evidence from 2007–10. J. Financial Intermediation 23(3):300–321.Crossref, Google Scholar
- (2006) State-contingent bank regulation with unobserved actions and unobserved characteristics. J. Econom. Dynam. Control 30(11):2015–2049.Crossref, Google Scholar
- (2010) Diversification and value-at-risk. J. Banking Finance 34(1):55–66.Crossref, Google Scholar
- (2014) Banks’ incentives and the quality of internal risk models. Staff Report 704, Federal Reserve Bank of New York, New York.Google Scholar
- (2004) Auditing and bank capital regulation. Econom. Quart. 90(4):47–63.Google Scholar
- (2015) The failure of models that predict failure: Distance, incentives, and defaults. J. Financial Econom. 115(2):237–260.Crossref, Google Scholar
- (2004) Loan pricing under Basel capital requirements. J. Financial Intermediation 13(4):496–521.Crossref, Google Scholar
- (2013) The procyclical effects of bank capital regulation. Rev. Financial Stud. 26(2):452–490.Crossref, Google Scholar
- (2010) The future of banking regulation. Dewatripont M, Rochet J-C, Tirole J, eds. Balancing the Banks (Princeton University Press, Princeton, NJ), 78–106.Crossref, Google Scholar
- (1979) Optimal contracts and competitive markets with costly state verification. J. Econom. Theory 21(2):265–293.Crossref, Google Scholar
- (2013) The risk sensitivity of capital requirements: Evidence from an international sample of large banks. Rev. Finance 17(6):1947–1988.Crossref, Google Scholar

