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.

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.
Studies in Simulation and Modelling
177
182
Agliardi Elettra
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11585/52551
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