Regulation and banks' behaviour towards risk:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Aldershot u.a.
Dartmouth
1990
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | VIII, 126 S. graph. Darst. |
| ISBN: | 1855210819 |
Internformat
MARC
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Datensatz im Suchindex
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|---|---|
| adam_text | Contents
List of tables and figures vii
Introduction 1
CHAPTER 1 REGULATION AND BANKS BEHAVIOUR
TOWARDS RISK: AN OVERVIEW 7
CHAPTER 2 MODELLING REGULATION OF BANKS 13
2.1 The Portfolio Analysis of Banks: A General
Statement and Description of the Problem 13
2.2 The Effect of Regulation on Portfolio Analysis 23
CHAPTER 3 MODELS WITHOUT QUANTITY CONSTRAINTS 29
3.1 The constraint analysed 29
3.1.1 Capital requirements 30
3.1.2 Portfolio regulation 37
3.1.3 Interest rate variations 39
3.1.4 Reserve requirements 40
3.2 The utility function 41
3.3 The measure of risk 42
v
4.2 The utility function 64
4.3 The measure of riskiness 67
CHAPTER 5 SOME EMPIRICAL EVIDENCE 73
5.1 The regulation of interest rate 75
5.2 The regulation of capital ratios 85
CHAPTER 6 DEPOSIT INSURANCE AND BANK
REGULATION 97
6.1 The impact of a deposit insurance system on the
overall risk taken by a bank 100
6.1.1 The theoretical ground 100
6.1.2 Some empirical evidence 105
CHAPTER 7 CONCLUSIONS AND MONETARY POLICY
IMPLICATIONS 111
Bibliography 117
Index 123
vi
List of tables and figures
Table 4.1: Summary of results 63
Table 4.2: The utility function 66
Table 5.1: Summary of the empirical results of 74
regulatory constraints on banks risk
Table 5.2: Regression results 78
Table 5.3: Analysis of variance table portfolio 81
response impacts
Table 5.4: Regression estimates of market model, pre 83
and post event equations
Table 5.5: Estimates of risk shifts, by regulatory change 83
Table 5.6: Estimates of shifts in var(Ej), by regulatory 84
change
Table 5.7: Correlation matrix: adequate and actual 86
capital deposit ratios
Table 5.8: Regression estimates (1963 1965) 87
Table 5.9: Regression of the percentage change in bank 92
capital on the posited explanatory variables
Figure 2.1: Indifference curves 15
Figure 2.2: The efficient frontier 17
Figure 2.3: The efficient frontier in the mean variance 18
space when all securities are risky
vii
Figure 2.4: The efficient frontier in the mean standard 18
deviation plane when all securities are risky
Figure 2.5: The efficient frontier in the mean standard 19
deviation plane when one of the assets is
riskless
Figure 2.6: The traditional approach to finding the 20
efficient frontier when one of the assets is
riskless
Figure 2.7: The optimal portfolio composition 21
Figure 2.8: The optimal portfolio allocation with 22
bankruptcy
Figure 2.9: The effect on the equilibrium of a change 24
in bank cost
Figure 2.10: The effect on the probability of failure of 25
an implementation of leverage constraint
Figure 3.1: The effect of a reduction in allowable 33
leverage
Figure 3.2: The equilibrium with the capital and the 34
asset risk return frontiers
Figure 3.3: Imposing a binding capital constraint 35
causes asset risk to rise
Figure 3.4: Increasing the stringency of capital 36
regulation
Figure 3.5: Impact of regulation on risk exposure 38
Figure 4.1: The case of portfolio with riskless and 53
risky assets
Figure 4.2: The case of portfolio 100% in risky assets 54
viii
|
| any_adam_object | 1 |
| author | Di Cagno, Daniela |
| author_facet | Di Cagno, Daniela |
| author_role | aut |
| author_sort | Di Cagno, Daniela |
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.1 20 |
| dewey-search | 332.1 20 |
| dewey-sort | 3332.1 220 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
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| illustrated | Illustrated |
| indexdate | 2024-07-09T16:08:09Z |
| institution | BVB |
| isbn | 1855210819 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-002546952 |
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| spelling | Di Cagno, Daniela Verfasser aut Regulation and banks' behaviour towards risk Daniela di Cagno Aldershot u.a. Dartmouth 1990 VIII, 126 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Bank Banks and banking Banking law Risk management Bank investments Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Risikoverhalten (DE-588)4050133-4 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Bank (DE-588)4004436-1 gnd rswk-swf Regulierung (DE-588)4201190-5 gnd rswk-swf Kreditwesen (DE-588)4032950-1 gnd rswk-swf Bankenaufsicht (DE-588)4004450-6 gnd rswk-swf Recht (DE-588)4048737-4 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Bank (DE-588)4004436-1 s Risikomanagement (DE-588)4121590-4 s Recht (DE-588)4048737-4 s Portfoliomanagement (DE-588)4115601-8 s DE-604 Bankenaufsicht (DE-588)4004450-6 s Risikoverhalten (DE-588)4050133-4 s Regulierung (DE-588)4201190-5 s Kreditwesen (DE-588)4032950-1 s Portfolio Selection (DE-588)4046834-3 s DE-188 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=002546952&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Di Cagno, Daniela Regulation and banks' behaviour towards risk Bank Banks and banking Banking law Risk management Bank investments Portfoliomanagement (DE-588)4115601-8 gnd Risikoverhalten (DE-588)4050133-4 gnd Risikomanagement (DE-588)4121590-4 gnd Bank (DE-588)4004436-1 gnd Regulierung (DE-588)4201190-5 gnd Kreditwesen (DE-588)4032950-1 gnd Bankenaufsicht (DE-588)4004450-6 gnd Recht (DE-588)4048737-4 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| subject_GND | (DE-588)4115601-8 (DE-588)4050133-4 (DE-588)4121590-4 (DE-588)4004436-1 (DE-588)4201190-5 (DE-588)4032950-1 (DE-588)4004450-6 (DE-588)4048737-4 (DE-588)4046834-3 |
| title | Regulation and banks' behaviour towards risk |
| title_auth | Regulation and banks' behaviour towards risk |
| title_exact_search | Regulation and banks' behaviour towards risk |
| title_full | Regulation and banks' behaviour towards risk Daniela di Cagno |
| title_fullStr | Regulation and banks' behaviour towards risk Daniela di Cagno |
| title_full_unstemmed | Regulation and banks' behaviour towards risk Daniela di Cagno |
| title_short | Regulation and banks' behaviour towards risk |
| title_sort | regulation and banks behaviour towards risk |
| topic | Bank Banks and banking Banking law Risk management Bank investments Portfoliomanagement (DE-588)4115601-8 gnd Risikoverhalten (DE-588)4050133-4 gnd Risikomanagement (DE-588)4121590-4 gnd Bank (DE-588)4004436-1 gnd Regulierung (DE-588)4201190-5 gnd Kreditwesen (DE-588)4032950-1 gnd Bankenaufsicht (DE-588)4004450-6 gnd Recht (DE-588)4048737-4 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| topic_facet | Bank Banks and banking Banking law Risk management Bank investments Portfoliomanagement Risikoverhalten Risikomanagement Regulierung Kreditwesen Bankenaufsicht Recht Portfolio Selection |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=002546952&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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