The implications of bank capital requirements for the financial system stability:
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| Beschreibung: | St. Gallen, Univ., Diss., 2006 |
| Beschreibung: | XII, 285 S. Ill., graph. Darst. |
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Datensatz im Suchindex
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| adam_text | OVERVIEW OF CONTFN1S
TABLE OF CONTENTS ii
TABLE OF ABBREVIA TIONS vi
TABLE OF FIGURES ix
0 Abstract xi
1 Introduction /
2 Financial Stability and Capital Adequacy 6
3 Economic and Regulatory Capital Requirements and Financial Stability 59
4 Basel II and Financial Stability 135
5 Conclusions and Outlook 208
LIST OF INTERVIEW PARTNERS 221
BILBIOGRAPHY. 226
Appendix I: Financial Stability Indicators 258
Appendix 2: Financial Stability Assessment 264
Appendix 3: CEE Countries Related Statistics 265
Appendix 3: CEE Countries Related Statistics 266
Appendix 4: Corruption in CEE 267
Appendix 5: Basel II. 2 79
i
TABLE OF CONTENTS
0 Abstract ¦ »
/ Introduction
1.1 Problem Definition 1
1.2 Present Extent of Research 2
1.3 Research Objectives, Methodology and Structure of the Dissertation 3
2 Financial Stability and Capital Adequacy. 6
2.1 Theories and Determinants of Financial Stability 6
2.1.1 Definitions 6
2.1.1.1 Negative Definitions 6
2.1.1.2 Positive Definitions 7
2.1.2 Core Functions of Financial Systems 8
2.1.3 Threats to Financial Stability 9
2.1.4 Banking Crises u
2.1.4.1 Categorizations of Origins: An Overview 1
2.1.4.2 Macroeconomic Circumstances and Policies 12
2.1.4.2.1 Adverse Macroeconomic Developments 12
2.1.4.2.2 Poor Macroeconomic Policies l5
2.1.4.2.3 Exchange Rate Regime 15
2.1.4.3 Microeconomic Origins 15
2.1.4.3.1 Liberalization / Deregulation 15
2.1.4.3.2 Regulation and Supervision 16
2.1.4.3.3 Government Interference/ Ownership of the Banking System I7
2.1.4.3.4 Bank Runs 18
2.1.4.3.5 Information Asymmetries / Moral Hazard 19
2.1.4.3.6 Inadequate Infrastructure 20
2.1.4.3.7 Lack of Transparency 21
2.1.4.4 Banking Strategies and Operations 21
2.1.4.5 Other Causes 22
2.1.5 Costs of Financial Instability 23
2.1.6 Preliminary Conclusions 25
2.1.7 Indicators of Financial Stability 26
2.1.7.1 Definitions of Financial Stability Indicators 27
2.1.7.2 Classifications of Financial Stability Indicators 27
2.1.7.3 Financial Stability Indicators . Preliminary Conclusions 30
2.2 Theoretical Background of Capital Adequacy 31
2.2.1 Regulation vs. Supervision 31
2.2.2 Capital Adequacy Rules in the Context of Banking Regulation 32
2.2.3 Justification for Regulation of Bank Capital 33
2.2.4 Goals and Justification of Financial Markets Regulation and Supervision 34
2.2.4.1 Objectives of Regulation and Supervision of Financial Markets in General 3*
2.2.4.2 Motives for the Regulation and Supervision of Banks 35
2.2.5 Functions of Bank Capital 36
2.2.6 Depositor Protection Argument 39
2.2.7 System Protection Argument 39
2.3 Basel Capital Accords 45
2.3.1 Basel Committee for Banking Supervision and 1988 Basel Accord 45
2.3.2 New Basel Accord 48
2.3.3 Objectives of Basel II 52
2.3.4 Capital Components within Basel II 52
2.3.5 Capital Adequacy Concepts 54
2.3.5.1 Asset Side Indirect Equity Capital Provision 54
2.3.5.2 Capital Adequacy for Credit Risk 56
2.3.5.3 Capital Adequacy for Market Risks 56
2.3.5.4 Capital Adequacy for Operational Risks 57
3 Economic and Regulatory Capital Requirements and Financial Stability 59
ii
TABLE OF CONTENTS
3.1 Analytical Framework 59
3.1.1 Goals and Structure of the Framework 59
3.1.2 Why a Descriptive Analytical Framework? 60
3.1.2.1 Disadvantages of Aggregated Micro Prudential Indicators 61
3.1.2.2 Disadvantages of Macroeconomic Indicators 62
3.2 Why Does Capital Matter? 63
3.2.1 Modigliani Miller as a Starting Point 63
3.2.2 How do Market Imperfections Influence Market Capital Requirements? 64
3.2.2.1 Taxes 64
3.2.2.2 Financial Distress 64
3.2.2.3 Asymmetric Information 65
3.2.2.3.1 Agency Conflicts between Shareholders and Managers 66
3.2.2.3.2 Agency Conflicts between Shareholders and Creditors 66
3.2.2.3.3 Asymmetric Information Problem for Banks vis a vis Financial Markets 67
3.2.2.4 Transaction Costs 68
3.2.2.5 The Safety Net 68
3.3 Regulatory Versus Economic Capital 69
3.3.1 First Dimension: Rules versus Process Oriented Capital Calculation 69
3.3.2 Second Dimension: Private vs. Social Costs in Macro and Micro Oriented Perspective 73
3.3.2.1 Private vs. Social Costs of Bank Failure 73
3.3.2.2 Macro vs. Microprudential Perspective of Bank Capital Regulation 74
3.4 Preliminary Conclusions 78
3.4.1 Economic Capital Requirements 78
3.4.2 Development of Capital Regulations in Time 79
3.4.3 Implications of Social Costs of Failure 81
3.5 Implications of Capital Requirements on the Functions of Financial Systems 83
3.5.1 Clearing and Settling Payments 83
3.5.2 Pooling Resources and Subdividing Shares 84
3.5.2.1 Profitability Aspect 85
3.5.2.2 Risk Based Capital Regulations and Procyclicality 88
3.5.2.2.1 Explanations of Procyclicality 89
3.5.2.2.2 Endogenous Nature of Risk 90
3.5.2.2.3 Procyclicality of Capital Requirements for Credit Risk 92
3.5.2.2.4 Empirical Evidence 93
3.5.2.2.5 Procyclicality of Market Risk 9
3.5.2.3 Preliminary Conclusions on the Resources Pooling Function 9S
3.5.3 Transferring Resources across Time and Space 99
3.5.3.1 Risk based Capital Regulations and Proc clicalit 1(10
3.5.3.2 Resources Transfer across Different Regions and Sectors 100
3.5.3.3 Resource Transfer across Time KM
3.5.3.4 Do Capital Requirements Level the Playing Field . 102
3.5.3.5 Aspect of Financial Innovations 104
3.5.3.6 Preliminary Conclusions 105
3.5.4 Managing Risk 106
3.5.4.1 Risk Bearing 10
3.5.4.1.1 Social Costs of Failure vs. Social Costs of Diminishing Intermediation 1(1
3.5.4.1.2 Incentives for and against Risk Taking HIS
3.5.4.2 Risk Management 1(19
3.5.4.3 Preliminary Conclusions I Id
3.5.5 Pro iding Information 1 11
3.5.5.1 Signals to Depositors and Regulators Ill
3.5.5.2 Signals from Risk Based Regulation 1 12
3.5.5.3 The Role of the Supervisory Framework 11?
3.5.5.4 Misleading Signals 114
3.5.5.5 Preliminary Conclusions 114
3.5.6 Dealing with Incentives Problems 115
3.5.6.1 The Role of Disclosure 115
3.5.6.2 Risk taking 1 16
3.5.6.3 Non Risk based Capital Regulations and Risk taking at Banks ] 1
iii
TABLE OF CONTENTS
3.5.6.3.1 Mean variance Framework Findings 1IV
3.5.6.3.2 Taking the Safety Net into Account 119
3.5.6.3.3 Agency Problems between Depositors, Owners and Managers 122
3.5.6.3.4 Underinvestment vs. Overinvestment Incentives 123
3.5.6.3.5 Less Risk Due To De Facto Risk Sensitivity 124
3.5.6.4 Risk based Capital Regulation and Risk taking at Banks 124
3.5.6.4.1 Improper Risk weights 125
3.5.6.4.2 Effects on Monitoring 128
3.5.6.4.3 Risk taking in a Dynamic Framework 130
3.5.6.4.4 The Role of the Safety Net: Strong vs. Weak Banks 131
3.5.6.5 Preliminary Conclusions 133
4 Basel II and Financial Stability 135
4.1 Capital Regulation and EU Eastward Enlargement 135
4.1.1 The New Basel Capital Framework 135
4.1.2 The Role of Regulation within EU Financial Market Integration 136
4.2 Basel II and the Functions of Financial Systems in New EU Member Countries 140
4.2.1 Clearing and Settling Payments 140
4.2.1.1 What is Special about Operational Risks? 140
4.2.1.2 Significant Losses from Operational Risk Events 141
4.2.1.3 Loss Distribution of (Reported) Operational Losses 142
4.2.1.4 Demutualization 145
4.2.1.5 Benefits beyond Awareness Increasing? 146
4.2.1.6 Preliminary Conclusions 147
4.2.2 Pooling Resources and Subdividing Shares 148
4.2.2.1 Profitability: More Costs i.e. Less Profitability 148
4.2.2.1.1 Conflicting Prophecies 148
4.2.2.1.2 Binding Character of Regulation 148
4.2.2.1.3 Direct Costs 149
4.2.2.1.4 Compliance Costs 150
4.2.2.1.5 Private vs. Social Costs 151
4.2.2.2 Procyclicality 153
4.2.2.2.1 General Concerns 153
4.2.2.2.2 Credit Risk Procyclicality 154
4.2.2.2.3 Some Evidence for IRB 156
4.2.2.2.4 Operational Risk Procyclicality 159
4.2.2.2.5 Additional Concerns for CEE 162
4.2.2.2.6 The Role of Foreign Banks 163
4.2.2.3 Intermediary Conclusion 165
4.2.3 Transferring Resources across Time and Space 166
4.2.3.1 New Capital Adequacy Framework and Procyclicality 166
4.2.3.2 Resource Transfer across Different Regions and Sectors 167
4.2.3.3 The Role of Foreign Banks 168
4.2.3.4 Resource Transfer across Time 170
4.2.3.5 Does the New Capital Accord Level the Playing Field ? 171
4.2.3.6 Preliminary Conclusions 1 73
4.2.4 Managing Risk. 174
4.2.4.1 Process Orientation as an Incentive for Risk Management 174
4.2.4.2 Best Practices as Threat 176
4.2.4.3 Management of Operational Risk 177
4.2.4.3.1 Factors driving ORM 177
4.2.4.3.2 Benefits from ORM 178
4.2.4.4 Aspect of Financial Innovations 179
4.2.4.4.1 Financial Innovations as a Booster of Several Core Functions 179
4.2.4.4.2 Innovations vs. Capital 180
4.2.4.4.3 Detrimental Effects of Compliance Costs 181
4.2.4.4.4 The Loopholes 181
4.2.4.4.5 Limits of Innovations 182
4.2.4.5 Process Orientation, Best Practices and Procyclicality 182
4.2.4.6 Preliminary Conclusions 183
iv
TABLE OF CONTENTS
4.2.5 Providing Information 184
4.2.5.1 The Role of Disclosure 184
4.2.5.2 Disclosure Is No Panacea 185
4.2.5.3 Information about Internal Processes 185
4.2.5.4 Complexity of Information 186
4.2.5.5 Preliminary Conclusions 186
4.2.6 Dealing with Incentives Problems 187
4.2.6.1 The Role of the Safety Net 187
4.2.6.2 Social vs. Private Costs or Regulatory vs. Desired Capital 188
4.2.6.3 Inappropriateness of Internal Models to Capture Risks 190
4.2.6.3.1 Wrongly Calibrated Traffic Lights 190
4.2.6.3.2 Incentives to Cherry pick 190
4.2.6.3.3 Adverse Strategic Incentives 191
4.2.6.3.4 Moral Hazard due to Best Practices 191
4.2.6.3.5 Limitations of Models 192
4.2.6.3.6 The Fat Tail Problem 192
4.2.6.3.7 Focus on Wrong Risk Categories 193
4.2.6.4 Moral Hazard from Supervision Based Regulation 194
4.2.6.4.1 Complexity of the New Accord 194
4.2.6.4.2 Reasons for Failure 195
4.2.6.4.3 Problems in CEE 195
4.2.6.4.4 Supervisory Action and Wrongly Calibrated Traffic Lights 197
4.2.6.5 Strong vs. Weak Banks 197
4.2.6.5.1 When More Risk Taking Could Be Optimal 197
4.2.6.5.2 Too Big To Fail 199
4.2.6.6 Regulatory Race to the Bottom 200
4.2.6.7 Restrictions on Competition 202
4.2.6.8 Power of Disclosure 203
4.2.6.8.1 Discipline through Depositors 203
4.2.6.8.2 Reviewing the Reviewers 204
4.2.6.8.3 Incentives against Procyclicality 205
4.2.6.9 Preliminary Conclusions 205
5 Conclusions and Outlook 208
5.1 General Insights 208
5.2 Basel II: What Are the Alternatives 211
5.2.1 Social vs. Private Risks: Increased Macro Orientation 21 !
5.2.2 Solutions for Model Limitations 2! 3
5.2.3 Solution against Inconsistent Application 213
5.2.4 Simplicity as a Solution for Vulnerability to Supervisory Failures 214
5.2.4.1 Adjusting the Scope of Monitoring 214
5.2.4.2 Back to Basics 214
5.2.4.3 Basel 1. Basel II or Something in Between 215
5.2.5 Solutions against Procyclicalit 215
5.3 Outlook 218
LIST OF INTERVIEW PARTNERS 221
BILBIOGRAPHY. 226
Appendix 1: Financial Stability Indicators 258
Appendix 2: Financial Stability Assessment 264
Appendix 3: CEE Countries Related Statistics 265
Appendix 4: Corruption in CEE 267
Appendix 5: BaselII. 279
x
TABLES AND FIGURES
TABLES:
Table 2 1: Causes of Banking Crises 14
Table 2 2: Costs of Crisis Resolutions 24
Table 2 3: Core Set and Encouraged Set of FSIs 28
Table 2 4: Examples of Normative Measures in Banking Regulation 33
Table 3 1: Macro vs. Micro Oriented Regulation of Banks 75
Table 3 2: Capital Held by Large O 10 Banks 87
Table 3 3: Risk based Capital Requirements for Selected Banking Book Instruments 101
Table 3 4: Distribution of Capital Ratios for all G 10 Banks 104
Table 4 1:EU Capital Framework versus Basel II 136
Table 4 2: Descriptive Statistics for Losses from Operational Risks in the US by Basel Business Line .... 145
Table 4 3: PD, LGD, EAD and Procyclicality 155
Table 4 4: Maximum Change in CAR 158
Table 4 5: Top Down vs. Bottom Up Approaches in ORM 161
Table 4 6: Bank Ownership Structure in the CEE Region in 2003 vs. 1997 164
Table 4 7: Basel I vs. Basel II 167
Table 4 8: Descriptive Statistics for Losses from Operational Risks in the US by Basel Event Type 179
Table 4 9: Changes in Legal Transition Indicators 1997 2001 196
FIGURES:
Figure 2 1: Generic Pattern of Financial Instabilities and the Role of Banks within 26
Figure 2 2: Functions of Bank Capital 37
Figure 2 3: Economic Losses from Systemic Risk Events 41
Figure 2 4: The Three Pillars of the New Basel Capital Accord 50
Figure 2 5: Asset Side Capital Adequacy Concept 55
Figure 2 6: Capital Adequacy Approaches for Credit Risks 56
Figure 3 1: Micro versus Macro Prudential Regulation of Financial Systems 77
Figure 3 2: Implications of Market Imperfections to Economic Capital Requirements 79
Figure 3 3: Historic Evolution of Capital Regulations 80
Figure 3 4: Macro n. Micro Oriented Capital Regulation 82
Figure 3 5: Regulatory Capital in Banks in 1988,1992 and 1996 86
Figure 3 6: Shifts in Credit Losses in the Economic Cycle 92
Figure 3 7: Implications of Simple Leverage Capital Requirements on the Resources Pooling Function
of the Financial Systems 98
Figure 3 8: Implications of Risk based Capital Requirements on the Resources Pooling Function of the
Financial Systems 99
Figure 3 9: Implications of Risk based Capital Requirements on the Resource Transfer Function 106
Figure 3 10: Implications of Simple Leverage Capital Requirements on the Risk Management Function 111
Figure 3 11: Implications of Risk based Capital Requirements on the Risk Management Function 111
Figure 3 12: Implications of Simple leverage Capital Requirements on the Information
Providing Function 115
Figure 3 13: Implications of Risk Based Capital Requirements on the Information Providing Function. 115
Figure 3 14: Credit Losses Distribution 117
Figure 3 15: Capital Requirements and Feasible Portfolios (I) 126
Figure 3 16: Capital Requirements and Feasible Portfolios (II) 127
Figure 3 17: Implications of Simple leverage Capital Requirements on the Incentives providing
function 134
Figure 3 18: Implications of Risk based Capital Requirements on the Incentives providing Function 134
Figure 4 1 Distribution of Operational Losses 143
Figure 4 2: Development of Reported Operational Losses 143
Figure 4 3: Implications of Capital Regulation in the New Framework on the Clearing and Settling
Payments Function of Financial Systems 147
Figure 4 4: CARs for the USA 157
Figure 4 5: CARS for Norway 157
Figure 4 6: CARS for Mexico 157
Figure 4 7: Implications of Capital Regulation in the New Framework on the Resource pooling Function
of Financial Systems 166
ix
TABLES AND FIGURES
Figure 4 8: Implications of Capital Regulation in the New Framework on the Resources transfer
Function of Financial Systems 174
Figure 4 9: Factors Driving the Development of Operational Risk Programs 177
Figure 4 10: The Most Important Benefits of Successful Operational Risk Management 178
Figure 4 11: Implications of Capital Regulation in the New Framework on the Risk Management Function
of Financial Systems 184
Figure 4 12: Implications of Capital Regulation in the New Framework on the Information Providing
Function of Financial Systems 187
Figure 4 13: Implications of Capital Regulation in the New Framework on the Risk Management Function
of Financial Systems 207
APPENDIX:
Appendix Table 1: Systemic Cases of Banking Insolvencies (Most or All Bank Capital Exhausted) 258
Appendix Table 2: List of Financial Stability Indicators 259
Appendix Table 3: OECD Members 266
Appendix Table 4: Corruption Perception Index 267
Appendix Table 5: Corruption Problems in CEE 268
Appendix Table 6: Short term Loans to Total Loans 277
Appendix Table 7: CARS for USA 279
Appendix Table 8: CARs for Norway 279
Appendix Table 9: CARs for Mexico 280
Appendix Table 10: Operational Loss Event Type Classification for the AMA Approach 281
Appendix Table 11: The Reporting Mechanism for External Data Vendors (Example: GOLD) 282
Appendix Table 12: GOLD Loss event type categories 283
Appendix Figure 1: Framework for the Assessment of Financial Stability 265
Appendix Figure 2: Capital to Asset Ratios 270
Appendix Figure 3: Total Problem Loans to Total Loans 274
Appendix Figure 4: Potential Obstacles to a Successful Implementation of an Operational Risk
Management System 285
x
|
| adam_txt |
OVERVIEW OF CONTFN1S
TABLE OF CONTENTS ii
TABLE OF ABBREVIA TIONS vi
TABLE OF FIGURES ix
0 Abstract xi
1 Introduction /
2 Financial Stability and Capital Adequacy 6
3 Economic and Regulatory Capital Requirements and Financial Stability 59
4 Basel II and Financial Stability 135
5 Conclusions and Outlook 208
LIST OF INTERVIEW PARTNERS 221
BILBIOGRAPHY. 226
Appendix I: Financial Stability Indicators 258
Appendix 2: Financial Stability Assessment 264
Appendix 3: CEE Countries Related Statistics 265
Appendix 3: CEE Countries Related Statistics 266
Appendix 4: Corruption in CEE 267
Appendix 5: Basel II. 2 79
i
TABLE OF CONTENTS
0 Abstract ¦"»'
/ Introduction '
1.1 Problem Definition 1
1.2 Present Extent of Research 2
1.3 Research Objectives, Methodology and Structure of the Dissertation 3
2 Financial Stability and Capital Adequacy. 6
2.1 Theories and Determinants of Financial Stability 6
2.1.1 Definitions 6
2.1.1.1 Negative Definitions 6
2.1.1.2 Positive Definitions 7
2.1.2 Core Functions of Financial Systems 8
2.1.3 Threats to Financial Stability 9
2.1.4 Banking Crises 'u
2.1.4.1 Categorizations of Origins: An Overview 1'
2.1.4.2 Macroeconomic Circumstances and Policies 12
2.1.4.2.1 Adverse Macroeconomic Developments 12
2.1.4.2.2 Poor Macroeconomic Policies l5
2.1.4.2.3 Exchange Rate Regime 15
2.1.4.3 Microeconomic Origins 15
2.1.4.3.1 Liberalization / Deregulation 15
2.1.4.3.2 Regulation and Supervision 16
2.1.4.3.3 Government Interference/ Ownership of the Banking System I7
2.1.4.3.4 Bank Runs 18
2.1.4.3.5 Information Asymmetries / Moral Hazard 19
2.1.4.3.6 Inadequate Infrastructure 20
2.1.4.3.7 Lack of Transparency 21
2.1.4.4 Banking Strategies and Operations 21
2.1.4.5 Other Causes 22
2.1.5 Costs of Financial Instability 23
2.1.6 Preliminary Conclusions 25
2.1.7 Indicators of Financial Stability 26
2.1.7.1 Definitions of Financial Stability Indicators 27
2.1.7.2 Classifications of Financial Stability Indicators 27
2.1.7.3 Financial Stability Indicators'. Preliminary Conclusions 30
2.2 Theoretical Background of Capital Adequacy 31
2.2.1 Regulation vs. Supervision 31
2.2.2 Capital Adequacy Rules in the Context of Banking Regulation 32
2.2.3 Justification for Regulation of Bank Capital 33
2.2.4 Goals and Justification of Financial Markets Regulation and Supervision 34
2.2.4.1 Objectives of Regulation and Supervision of Financial Markets in General 3*
2.2.4.2 Motives for the Regulation and Supervision of Banks 35
2.2.5 Functions of Bank Capital 36
2.2.6 Depositor Protection Argument 39
2.2.7 System Protection Argument 39
2.3 Basel Capital Accords 45
2.3.1 Basel Committee for Banking Supervision and 1988 Basel Accord 45
2.3.2 New Basel Accord 48
2.3.3 Objectives of Basel II 52
2.3.4 Capital Components within Basel II 52
2.3.5 Capital Adequacy Concepts 54
2.3.5.1 Asset Side Indirect Equity Capital Provision 54
2.3.5.2 Capital Adequacy for Credit Risk 56
2.3.5.3 Capital Adequacy for Market Risks 56
2.3.5.4 Capital Adequacy for Operational Risks 57
3 Economic and Regulatory Capital Requirements and Financial Stability 59
ii
TABLE OF CONTENTS
3.1 Analytical Framework 59
3.1.1 Goals and Structure of the Framework 59
3.1.2 Why a Descriptive Analytical Framework? 60
3.1.2.1 Disadvantages of Aggregated Micro Prudential Indicators 61
3.1.2.2 Disadvantages of Macroeconomic Indicators 62
3.2 Why Does Capital Matter? 63
3.2.1 Modigliani Miller as a Starting Point 63
3.2.2 How do Market Imperfections Influence "Market" Capital Requirements? 64
3.2.2.1 Taxes 64
3.2.2.2 Financial Distress 64
3.2.2.3 Asymmetric Information 65
3.2.2.3.1 Agency Conflicts between Shareholders and Managers 66
3.2.2.3.2 Agency Conflicts between Shareholders and Creditors 66
3.2.2.3.3 Asymmetric Information Problem for Banks vis a vis Financial Markets 67
3.2.2.4 Transaction Costs 68
3.2.2.5 The Safety Net 68
3.3 Regulatory Versus Economic Capital 69
3.3.1 First Dimension: Rules versus Process Oriented Capital Calculation 69
3.3.2 Second Dimension: Private vs. Social Costs in Macro and Micro Oriented Perspective 73
3.3.2.1 Private vs. Social Costs of Bank Failure 73
3.3.2.2 Macro vs. Microprudential Perspective of Bank Capital Regulation 74
3.4 Preliminary Conclusions 78
3.4.1 Economic Capital Requirements 78
3.4.2 Development of Capital Regulations in Time 79
3.4.3 Implications of Social Costs of Failure 81
3.5 Implications of Capital Requirements on the Functions of Financial Systems 83
3.5.1 Clearing and Settling Payments 83
3.5.2 Pooling Resources and Subdividing Shares 84
3.5.2.1 Profitability Aspect 85
3.5.2.2 Risk Based Capital Regulations and Procyclicality 88
3.5.2.2.1 Explanations of Procyclicality 89
3.5.2.2.2 Endogenous Nature of Risk 90
3.5.2.2.3 Procyclicality of Capital Requirements for Credit Risk 92
3.5.2.2.4 Empirical Evidence 93
3.5.2.2.5 Procyclicality of Market Risk 9"
3.5.2.3 Preliminary Conclusions on the Resources Pooling Function 9S
3.5.3 Transferring Resources across Time and Space 99
3.5.3.1 Risk based Capital Regulations and Proc\clicalit 1(10
3.5.3.2 Resources Transfer across Different Regions and Sectors 100
3.5.3.3 Resource Transfer across Time KM
3.5.3.4 Do Capital Requirements "Level the Playing Field'".' 102
3.5.3.5 Aspect of Financial Innovations 104
3.5.3.6 Preliminary Conclusions 105
3.5.4 Managing Risk 106
3.5.4.1 Risk Bearing 10"
3.5.4.1.1 Social Costs of Failure vs. Social Costs of Diminishing Intermediation 1(1"
3.5.4.1.2 Incentives for and against Risk Taking HIS
3.5.4.2 Risk Management 1(19
3.5.4.3 Preliminary Conclusions I Id
3.5.5 Pro\iding Information 1 11
3.5.5.1 Signals to Depositors and Regulators Ill
3.5.5.2 Signals from Risk Based Regulation 1 12
3.5.5.3 The Role of the Supervisory Framework 11?
3.5.5.4 Misleading Signals 114
3.5.5.5 Preliminary Conclusions 114
3.5.6 Dealing with Incentives Problems 115
3.5.6.1 The Role of Disclosure 115
3.5.6.2 Risk taking 1 16
3.5.6.3 Non Risk based Capital Regulations and Risk taking at Banks ] 1"
iii
TABLE OF CONTENTS
3.5.6.3.1 Mean variance Framework Findings 1IV
3.5.6.3.2 Taking the Safety Net into Account 119
3.5.6.3.3 Agency Problems between Depositors, Owners and Managers 122
3.5.6.3.4 Underinvestment vs. Overinvestment Incentives 123
3.5.6.3.5 Less Risk Due To De Facto Risk Sensitivity 124
3.5.6.4 Risk based Capital Regulation and Risk taking at Banks 124
3.5.6.4.1 Improper Risk weights 125
3.5.6.4.2 Effects on Monitoring 128
3.5.6.4.3 Risk taking in a Dynamic Framework 130
3.5.6.4.4 The Role of the Safety Net: Strong vs. Weak Banks 131
3.5.6.5 Preliminary Conclusions 133
4 Basel II and Financial Stability 135
4.1 Capital Regulation and EU Eastward Enlargement 135
4.1.1 The New Basel Capital Framework 135
4.1.2 The Role of Regulation within EU Financial Market Integration 136
4.2 Basel II and the Functions of Financial Systems in New EU Member Countries 140
4.2.1 Clearing and Settling Payments 140
4.2.1.1 What is Special about Operational Risks? 140
4.2.1.2 Significant Losses from Operational Risk Events 141
4.2.1.3 Loss Distribution of (Reported) Operational Losses 142
4.2.1.4 Demutualization 145
4.2.1.5 Benefits beyond Awareness Increasing? 146
4.2.1.6 Preliminary Conclusions 147
4.2.2 Pooling Resources and Subdividing Shares 148
4.2.2.1 Profitability: More Costs i.e. Less Profitability 148
4.2.2.1.1 Conflicting Prophecies 148
4.2.2.1.2 Binding Character of Regulation 148
4.2.2.1.3 Direct Costs 149
4.2.2.1.4 Compliance Costs 150
4.2.2.1.5 Private vs. Social Costs 151
4.2.2.2 Procyclicality 153
4.2.2.2.1 General Concerns 153
4.2.2.2.2 Credit Risk Procyclicality 154
4.2.2.2.3 Some "Evidence" for IRB 156
4.2.2.2.4 Operational Risk Procyclicality 159
4.2.2.2.5 Additional Concerns for CEE 162
4.2.2.2.6 The Role of Foreign Banks 163
4.2.2.3 Intermediary Conclusion 165
4.2.3 Transferring Resources across Time and Space 166
4.2.3.1 New Capital Adequacy Framework and Procyclicality 166
4.2.3.2 Resource Transfer across Different Regions and Sectors 167
4.2.3.3 The Role of Foreign Banks 168
4.2.3.4 Resource Transfer across Time 170
4.2.3.5 Does the New Capital Accord "Level the Playing Field"? 171
4.2.3.6 Preliminary Conclusions 1 73
4.2.4 Managing Risk.' 174
4.2.4.1 Process Orientation as an Incentive for Risk Management 174
4.2.4.2 Best Practices as Threat 176
4.2.4.3 Management of Operational Risk 177
4.2.4.3.1 Factors driving ORM 177
4.2.4.3.2 Benefits from ORM 178
4.2.4.4 Aspect of Financial Innovations 179
4.2.4.4.1 Financial Innovations as a Booster of Several Core Functions 179
4.2.4.4.2 Innovations vs. Capital 180
4.2.4.4.3 Detrimental Effects of Compliance Costs 181
4.2.4.4.4 The Loopholes 181
4.2.4.4.5 Limits of Innovations 182
4.2.4.5 Process Orientation, Best Practices and Procyclicality 182
4.2.4.6 Preliminary Conclusions 183
iv
TABLE OF CONTENTS
4.2.5 Providing Information 184
4.2.5.1 The Role of Disclosure 184
4.2.5.2 Disclosure Is No Panacea 185
4.2.5.3 Information about Internal Processes 185
4.2.5.4 Complexity of Information 186
4.2.5.5 Preliminary Conclusions 186
4.2.6 Dealing with Incentives Problems 187
4.2.6.1 The Role of the Safety Net 187
4.2.6.2 Social vs. Private Costs or Regulatory vs. Desired Capital 188
4.2.6.3 Inappropriateness of Internal Models to Capture Risks 190
4.2.6.3.1 Wrongly Calibrated Traffic Lights 190
4.2.6.3.2 Incentives to Cherry pick 190
4.2.6.3.3 Adverse Strategic Incentives 191
4.2.6.3.4 Moral Hazard due to Best Practices 191
4.2.6.3.5 Limitations of Models 192
4.2.6.3.6 The "Fat Tail" Problem 192
4.2.6.3.7 Focus on Wrong Risk Categories 193
4.2.6.4 Moral Hazard from Supervision Based Regulation 194
4.2.6.4.1 Complexity of the New Accord 194
4.2.6.4.2 Reasons for Failure 195
4.2.6.4.3 Problems in CEE 195
4.2.6.4.4 Supervisory Action and "Wrongly Calibrated Traffic Lights" 197
4.2.6.5 Strong vs. Weak Banks 197
4.2.6.5.1 When More Risk Taking Could Be Optimal 197
4.2.6.5.2 Too Big To Fail 199
4.2.6.6 Regulatory' Race to the Bottom 200
4.2.6.7 Restrictions on Competition 202
4.2.6.8 Power of Disclosure 203
4.2.6.8.1 Discipline through Depositors 203
4.2.6.8.2 Reviewing the Reviewers 204
4.2.6.8.3 Incentives against Procyclicality 205
4.2.6.9 Preliminary Conclusions 205
5 Conclusions and Outlook 208
5.1 General Insights 208
5.2 Basel II: What Are the Alternatives 211
5.2.1 Social vs. Private Risks: Increased Macro Orientation 21 !
5.2.2 Solutions for Model Limitations 2! 3
5.2.3 Solution against Inconsistent Application 213
5.2.4 Simplicity as a Solution for Vulnerability to Supervisory Failures 214
5.2.4.1 Adjusting the Scope of Monitoring 214
5.2.4.2 Back to Basics 214
5.2.4.3 Basel 1. Basel II or Something in Between 215
5.2.5 Solutions against Procyclicalit\ 215
5.3 Outlook 218
LIST OF INTERVIEW PARTNERS 221
BILBIOGRAPHY. 226
Appendix 1: Financial Stability Indicators 258
Appendix 2: Financial Stability Assessment 264
Appendix 3: CEE Countries Related Statistics 265
Appendix 4: Corruption in CEE 267
Appendix 5: BaselII. 279
x
TABLES AND FIGURES
TABLES:
Table 2 1: Causes of Banking Crises 14
Table 2 2: Costs of Crisis Resolutions 24
Table 2 3: Core Set and Encouraged Set of FSIs 28
Table 2 4: Examples of Normative Measures in Banking Regulation 33
Table 3 1: Macro vs. Micro Oriented Regulation of Banks 75
Table 3 2: Capital Held by Large O 10 Banks 87
Table 3 3: Risk based Capital Requirements for Selected Banking Book Instruments 101
Table 3 4: Distribution of Capital Ratios for all G 10 Banks 104
Table 4 1:EU Capital Framework versus Basel II 136
Table 4 2: Descriptive Statistics for Losses from Operational Risks in the US by Basel Business Line . 145
Table 4 3: PD, LGD, EAD and Procyclicality 155
Table 4 4: Maximum Change in CAR 158
Table 4 5: Top Down vs. Bottom Up Approaches in ORM 161
Table 4 6: Bank Ownership Structure in the CEE Region in 2003 vs. 1997 164
Table 4 7: Basel I vs. Basel II 167
Table 4 8: Descriptive Statistics for Losses from Operational Risks in the US by Basel Event Type 179
Table 4 9: Changes in Legal Transition Indicators 1997 2001 196
FIGURES:
Figure 2 1: Generic Pattern of Financial Instabilities and the Role of Banks within 26
Figure 2 2: Functions of Bank Capital 37
Figure 2 3: Economic Losses from Systemic Risk Events 41
Figure 2 4: The Three Pillars of the New Basel Capital Accord 50
Figure 2 5: Asset Side Capital Adequacy Concept 55
Figure 2 6: Capital Adequacy Approaches for Credit Risks 56
Figure 3 1: Micro versus Macro Prudential Regulation of Financial Systems 77
Figure 3 2: Implications of Market Imperfections to Economic Capital Requirements 79
Figure 3 3: Historic Evolution of Capital Regulations 80
Figure 3 4: Macro n. Micro Oriented Capital Regulation 82
Figure 3 5: Regulatory Capital in Banks in 1988,1992 and 1996 86
Figure 3 6: Shifts in Credit Losses in the Economic Cycle 92
Figure 3 7: Implications of Simple Leverage Capital Requirements on the Resources Pooling Function
of the Financial Systems 98
Figure 3 8: Implications of Risk based Capital Requirements on the Resources Pooling Function of the
Financial Systems 99
Figure 3 9: Implications of Risk based Capital Requirements on the Resource Transfer Function 106
Figure 3 10: Implications of Simple Leverage Capital Requirements on the Risk Management Function 111
Figure 3 11: Implications of Risk based Capital Requirements on the Risk Management Function 111
Figure 3 12: Implications of Simple leverage Capital Requirements on the Information
Providing Function 115
Figure 3 13: Implications of Risk Based Capital Requirements on the Information Providing Function. 115
Figure 3 14: Credit Losses Distribution 117
Figure 3 15: Capital Requirements and Feasible Portfolios (I) 126
Figure 3 16: Capital Requirements and Feasible Portfolios (II) 127
Figure 3 17: Implications of Simple leverage Capital Requirements on the Incentives providing
function 134
Figure 3 18: Implications of Risk based Capital Requirements on the Incentives providing Function 134
Figure 4 1 Distribution of Operational Losses 143
Figure 4 2: Development of Reported Operational Losses 143
Figure 4 3: Implications of Capital Regulation in the New Framework on the Clearing and Settling
Payments Function of Financial Systems 147
Figure 4 4: CARs for the USA 157
Figure 4 5: CARS for Norway 157
Figure 4 6: CARS for Mexico 157
Figure 4 7: Implications of Capital Regulation in the New Framework on the Resource pooling Function
of Financial Systems 166
ix
TABLES AND FIGURES
Figure 4 8: Implications of Capital Regulation in the New Framework on the Resources transfer
Function of Financial Systems 174
Figure 4 9: Factors Driving the Development of Operational Risk Programs 177
Figure 4 10: The Most Important Benefits of Successful Operational Risk Management 178
Figure 4 11: Implications of Capital Regulation in the New Framework on the Risk Management Function
of Financial Systems 184
Figure 4 12: Implications of Capital Regulation in the New Framework on the Information Providing
Function of Financial Systems 187
Figure 4 13: Implications of Capital Regulation in the New Framework on the Risk Management Function
of Financial Systems 207
APPENDIX:
Appendix Table 1: Systemic Cases of Banking Insolvencies (Most or All Bank Capital Exhausted) 258
Appendix Table 2: List of Financial Stability Indicators 259
Appendix Table 3: OECD Members 266
Appendix Table 4: Corruption Perception Index 267
Appendix Table 5: Corruption Problems in CEE 268
Appendix Table 6: Short term Loans to Total Loans 277
Appendix Table 7: CARS for USA 279
Appendix Table 8: CARs for Norway 279
Appendix Table 9: CARs for Mexico 280
Appendix Table 10: Operational Loss Event Type Classification for the AMA Approach 281
Appendix Table 11: The Reporting Mechanism for External Data Vendors (Example: GOLD) 282
Appendix Table 12: GOLD Loss event type categories 283
Appendix Figure 1: Framework for the Assessment of Financial Stability 265
Appendix Figure 2: Capital to Asset Ratios 270
Appendix Figure 3: Total Problem Loans to Total Loans 274
Appendix Figure 4: Potential Obstacles to a Successful Implementation of an Operational Risk
Management System 285
x |
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| indexdate | 2024-07-09T20:57:07Z |
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| spelling | De Corbavia-Perišič, Ana Verfasser aut The implications of bank capital requirements for the financial system stability submitted by Ana De Corbavia-Perišič 2007 XII, 285 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier St. Gallen, Univ., Diss., 2006 Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung (DE-588)4679731-2 gnd rswk-swf Wirtschaftliche Stabilität (DE-588)4211986-8 gnd rswk-swf Kreditwesen (DE-588)4032950-1 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kreditwesen (DE-588)4032950-1 s Wirtschaftliche Stabilität (DE-588)4211986-8 s Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung (DE-588)4679731-2 u DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015624652&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | De Corbavia-Perišič, Ana The implications of bank capital requirements for the financial system stability Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung (DE-588)4679731-2 gnd Wirtschaftliche Stabilität (DE-588)4211986-8 gnd Kreditwesen (DE-588)4032950-1 gnd |
| subject_GND | (DE-588)4679731-2 (DE-588)4211986-8 (DE-588)4032950-1 (DE-588)4113937-9 |
| title | The implications of bank capital requirements for the financial system stability |
| title_auth | The implications of bank capital requirements for the financial system stability |
| title_exact_search | The implications of bank capital requirements for the financial system stability |
| title_exact_search_txtP | The implications of bank capital requirements for the financial system stability |
| title_full | The implications of bank capital requirements for the financial system stability submitted by Ana De Corbavia-Perišič |
| title_fullStr | The implications of bank capital requirements for the financial system stability submitted by Ana De Corbavia-Perišič |
| title_full_unstemmed | The implications of bank capital requirements for the financial system stability submitted by Ana De Corbavia-Perišič |
| title_short | The implications of bank capital requirements for the financial system stability |
| title_sort | the implications of bank capital requirements for the financial system stability |
| topic | Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung (DE-588)4679731-2 gnd Wirtschaftliche Stabilität (DE-588)4211986-8 gnd Kreditwesen (DE-588)4032950-1 gnd |
| topic_facet | Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung Wirtschaftliche Stabilität Kreditwesen Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015624652&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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