Abstract: A bank closure policy problem is analysed in a model within a real option 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 the impact of the Basel I and II Accords on banks’ behaviour.
Agliardi Elettra (2007). Bank Closure Policies and Capital requirements: a Mathematical Model. ISSN:1790-5117 : WSEAS PRESS.
Bank Closure Policies and Capital requirements: a Mathematical Model
AGLIARDI, ELETTRA
2007
Abstract
Abstract: A bank closure policy problem is analysed in a model within a real option 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 the impact of the Basel I and II Accords on banks’ behaviour.File in questo prodotto:
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