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. Key words: bank liquidation policies, solvency regulations, incentive approach, deposit insurance, capital requirements. JEL: G2, G21, G33
Agliardi E. (2010). Reviewing Bank Regulatory Objectives under Uncertainty. STUDI ECONOMICI, 100, 19-39.
Reviewing Bank Regulatory Objectives under Uncertainty
AGLIARDI, ELETTRA
2010
Abstract
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. Key words: bank liquidation policies, solvency regulations, incentive approach, deposit insurance, capital requirements. JEL: G2, G21, G33I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
