Bank business models and the Basel system: Complexity and interconnectedness
The main hallmarks of the global financial crisis were too-big-to-fail institutions taking on too much risk with other people's money: excess leverage and default pressure resulting from contagion and counterparty risk. This paper looks at whether the Basel III agreement addresses these issues...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Weitere Verfasser: | , |
| Format: | Elektronisch Artikel |
| Sprache: | English |
| Veröffentlicht: |
Paris
OECD Publishing
2014
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | The main hallmarks of the global financial crisis were too-big-to-fail institutions taking on too much risk with other people's money: excess leverage and default pressure resulting from contagion and counterparty risk. This paper looks at whether the Basel III agreement addresses these issues effectively. Basel III has some very useful elements, notably a (much too light "back-up") leverage ratio, a capital buffer, a proposal to deal with pro-cyclicality through dynamic provisioning based on expected losses and liquidity and stable funding ratios. However, the paper shows that Basel risk weighting and the use of internal bank models for determining them leads to systematic regulatory arbitrage that undermines its effectiveness. Empirical evidence about the determinants of the riskiness of a bank (measured in this study by the Distance-to-Default) shows that a simple leverage ratio vastly outperforms the Basel Tier 1 ratio. Furthermore, business model features (after controlling for macro factors) have a huge impact. Derivatives origination, prime broking, etc., carry vastly different risks to core deposit banking. Where such differences are present, it makes little sense to have a one-size-fits-all approach to capital rules. Capital rules make more sense when fundamentally different businesses are separated. JEL classification: G01, G15, G18, G20, G21, G24, G28 Keywords: Financial crisis, Basel III, derivatives, bank business models, distance-todefault, structural bank separation, banking reform, GSIFI banks |
| Beschreibung: | 1 Online-Ressource (26 p.) 21 x 28cm. |
| DOI: | 10.1787/fmt-2013-5jzb2rhkd65b |
Internformat
MARC
| LEADER | 00000caa a22000002 4500 | ||
|---|---|---|---|
| 001 | ZDB-13-SOC-061280445 | ||
| 003 | DE-627-1 | ||
| 005 | 20231204121415.0 | ||
| 007 | cr uuu---uuuuu | ||
| 008 | 210204s2014 xx |||||o 00| ||eng c | ||
| 024 | 7 | |a 10.1787/fmt-2013-5jzb2rhkd65b |2 doi | |
| 035 | |a (DE-627-1)061280445 | ||
| 035 | |a (DE-599)KEP061280445 | ||
| 035 | |a (FR-PaOEC)fmt-2013-5jzb2rhkd65b | ||
| 035 | |a (EBP)061280445 | ||
| 040 | |a DE-627 |b ger |c DE-627 |e rda | ||
| 041 | |a eng | ||
| 100 | 1 | |a Blundell-Wignall, Adrian |e VerfasserIn |4 aut | |
| 245 | 1 | 0 | |a Bank business models and the Basel system |b Complexity and interconnectedness |c Adrian, Blundell-Wignall, Paul, Atkinson and Caroline, Roulet |
| 264 | 1 | |a Paris |b OECD Publishing |c 2014 | |
| 300 | |a 1 Online-Ressource (26 p.) |c 21 x 28cm. | ||
| 336 | |a Text |b txt |2 rdacontent | ||
| 337 | |a Computermedien |b c |2 rdamedia | ||
| 338 | |a Online-Ressource |b cr |2 rdacarrier | ||
| 520 | |a The main hallmarks of the global financial crisis were too-big-to-fail institutions taking on too much risk with other people's money: excess leverage and default pressure resulting from contagion and counterparty risk. This paper looks at whether the Basel III agreement addresses these issues effectively. Basel III has some very useful elements, notably a (much too light "back-up") leverage ratio, a capital buffer, a proposal to deal with pro-cyclicality through dynamic provisioning based on expected losses and liquidity and stable funding ratios. However, the paper shows that Basel risk weighting and the use of internal bank models for determining them leads to systematic regulatory arbitrage that undermines its effectiveness. Empirical evidence about the determinants of the riskiness of a bank (measured in this study by the Distance-to-Default) shows that a simple leverage ratio vastly outperforms the Basel Tier 1 ratio. Furthermore, business model features (after controlling for macro factors) have a huge impact. Derivatives origination, prime broking, etc., carry vastly different risks to core deposit banking. Where such differences are present, it makes little sense to have a one-size-fits-all approach to capital rules. Capital rules make more sense when fundamentally different businesses are separated. JEL classification: G01, G15, G18, G20, G21, G24, G28 Keywords: Financial crisis, Basel III, derivatives, bank business models, distance-todefault, structural bank separation, banking reform, GSIFI banks | ||
| 650 | 4 | |a Finance and Investment | |
| 700 | 1 | |a Atkinson, Paul |e MitwirkendeR |4 ctb | |
| 700 | 1 | |a Roulet, Caroline |e MitwirkendeR |4 ctb | |
| 773 | 0 | 8 | |i Enthalten in |t OECD Journal: Financial Market Trends |g Vol. 2013, no. 2, p. 43-68 |
| 773 | 1 | 8 | |g volume:2013 |g year:2013 |g number:2 |g pages:43-68 |
| 856 | 4 | 0 | |l FWS01 |p ZDB-13-SOC |q FWS_PDA_SOC |u https://doi.org/10.1787/fmt-2013-5jzb2rhkd65b |3 Volltext |
| 912 | |a ZDB-13-SOC | ||
| 912 | |a ZDB-13-SOC-article | ||
| 912 | |a ZDB-13-SOC | ||
| 951 | |a AR | ||
| 912 | |a ZDB-13-SOC | ||
| 049 | |a DE-863 | ||
Datensatz im Suchindex
| DE-BY-FWS_katkey | ZDB-13-SOC-061280445 |
|---|---|
| _version_ | 1816797353263235072 |
| adam_text | |
| any_adam_object | |
| author | Blundell-Wignall, Adrian |
| author2 | Atkinson, Paul Roulet, Caroline |
| author2_role | ctb ctb |
| author2_variant | p a pa c r cr |
| author_facet | Blundell-Wignall, Adrian Atkinson, Paul Roulet, Caroline |
| author_role | aut |
| author_sort | Blundell-Wignall, Adrian |
| author_variant | a b w abw |
| building | Verbundindex |
| bvnumber | localFWS |
| collection | ZDB-13-SOC ZDB-13-SOC-article |
| ctrlnum | (DE-627-1)061280445 (DE-599)KEP061280445 (FR-PaOEC)fmt-2013-5jzb2rhkd65b (EBP)061280445 |
| discipline | Wirtschaftswissenschaften |
| doi_str_mv | 10.1787/fmt-2013-5jzb2rhkd65b |
| format | Electronic Article |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02908caa a22003852 4500</leader><controlfield tag="001">ZDB-13-SOC-061280445</controlfield><controlfield tag="003">DE-627-1</controlfield><controlfield tag="005">20231204121415.0</controlfield><controlfield tag="007">cr uuu---uuuuu</controlfield><controlfield tag="008">210204s2014 xx |||||o 00| ||eng c</controlfield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1787/fmt-2013-5jzb2rhkd65b</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-627-1)061280445</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)KEP061280445</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(FR-PaOEC)fmt-2013-5jzb2rhkd65b</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(EBP)061280445</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-627</subfield><subfield code="b">ger</subfield><subfield code="c">DE-627</subfield><subfield code="e">rda</subfield></datafield><datafield tag="041" ind1=" " ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Blundell-Wignall, Adrian</subfield><subfield code="e">VerfasserIn</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Bank business models and the Basel system</subfield><subfield code="b">Complexity and interconnectedness</subfield><subfield code="c">Adrian, Blundell-Wignall, Paul, Atkinson and Caroline, Roulet</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Paris</subfield><subfield code="b">OECD Publishing</subfield><subfield code="c">2014</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 Online-Ressource (26 p.)</subfield><subfield code="c">21 x 28cm.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">Text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">Computermedien</subfield><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">Online-Ressource</subfield><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">The main hallmarks of the global financial crisis were too-big-to-fail institutions taking on too much risk with other people's money: excess leverage and default pressure resulting from contagion and counterparty risk. This paper looks at whether the Basel III agreement addresses these issues effectively. Basel III has some very useful elements, notably a (much too light "back-up") leverage ratio, a capital buffer, a proposal to deal with pro-cyclicality through dynamic provisioning based on expected losses and liquidity and stable funding ratios. However, the paper shows that Basel risk weighting and the use of internal bank models for determining them leads to systematic regulatory arbitrage that undermines its effectiveness. Empirical evidence about the determinants of the riskiness of a bank (measured in this study by the Distance-to-Default) shows that a simple leverage ratio vastly outperforms the Basel Tier 1 ratio. Furthermore, business model features (after controlling for macro factors) have a huge impact. Derivatives origination, prime broking, etc., carry vastly different risks to core deposit banking. Where such differences are present, it makes little sense to have a one-size-fits-all approach to capital rules. Capital rules make more sense when fundamentally different businesses are separated. JEL classification: G01, G15, G18, G20, G21, G24, G28 Keywords: Financial crisis, Basel III, derivatives, bank business models, distance-todefault, structural bank separation, banking reform, GSIFI banks</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Finance and Investment</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Atkinson, Paul</subfield><subfield code="e">MitwirkendeR</subfield><subfield code="4">ctb</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Roulet, Caroline</subfield><subfield code="e">MitwirkendeR</subfield><subfield code="4">ctb</subfield></datafield><datafield tag="773" ind1="0" ind2="8"><subfield code="i">Enthalten in</subfield><subfield code="t">OECD Journal: Financial Market Trends</subfield><subfield code="g">Vol. 2013, no. 2, p. 43-68</subfield></datafield><datafield tag="773" ind1="1" ind2="8"><subfield code="g">volume:2013</subfield><subfield code="g">year:2013</subfield><subfield code="g">number:2</subfield><subfield code="g">pages:43-68</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="l">FWS01</subfield><subfield code="p">ZDB-13-SOC</subfield><subfield code="q">FWS_PDA_SOC</subfield><subfield code="u">https://doi.org/10.1787/fmt-2013-5jzb2rhkd65b</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-13-SOC</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-13-SOC-article</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-13-SOC</subfield></datafield><datafield tag="951" ind1=" " ind2=" "><subfield code="a">AR</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-13-SOC</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-863</subfield></datafield></record></collection> |
| id | ZDB-13-SOC-061280445 |
| illustrated | Not Illustrated |
| indexdate | 2024-11-26T14:56:13Z |
| institution | BVB |
| language | English |
| open_access_boolean | |
| owner | DE-863 DE-BY-FWS |
| owner_facet | DE-863 DE-BY-FWS |
| physical | 1 Online-Ressource (26 p.) 21 x 28cm. |
| psigel | ZDB-13-SOC ZDB-13-SOC-article |
| publishDate | 2014 |
| publishDateSearch | 2014 |
| publishDateSort | 2014 |
| publisher | OECD Publishing |
| record_format | marc |
| spelling | Blundell-Wignall, Adrian VerfasserIn aut Bank business models and the Basel system Complexity and interconnectedness Adrian, Blundell-Wignall, Paul, Atkinson and Caroline, Roulet Paris OECD Publishing 2014 1 Online-Ressource (26 p.) 21 x 28cm. Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier The main hallmarks of the global financial crisis were too-big-to-fail institutions taking on too much risk with other people's money: excess leverage and default pressure resulting from contagion and counterparty risk. This paper looks at whether the Basel III agreement addresses these issues effectively. Basel III has some very useful elements, notably a (much too light "back-up") leverage ratio, a capital buffer, a proposal to deal with pro-cyclicality through dynamic provisioning based on expected losses and liquidity and stable funding ratios. However, the paper shows that Basel risk weighting and the use of internal bank models for determining them leads to systematic regulatory arbitrage that undermines its effectiveness. Empirical evidence about the determinants of the riskiness of a bank (measured in this study by the Distance-to-Default) shows that a simple leverage ratio vastly outperforms the Basel Tier 1 ratio. Furthermore, business model features (after controlling for macro factors) have a huge impact. Derivatives origination, prime broking, etc., carry vastly different risks to core deposit banking. Where such differences are present, it makes little sense to have a one-size-fits-all approach to capital rules. Capital rules make more sense when fundamentally different businesses are separated. JEL classification: G01, G15, G18, G20, G21, G24, G28 Keywords: Financial crisis, Basel III, derivatives, bank business models, distance-todefault, structural bank separation, banking reform, GSIFI banks Finance and Investment Atkinson, Paul MitwirkendeR ctb Roulet, Caroline MitwirkendeR ctb Enthalten in OECD Journal: Financial Market Trends Vol. 2013, no. 2, p. 43-68 volume:2013 year:2013 number:2 pages:43-68 FWS01 ZDB-13-SOC FWS_PDA_SOC https://doi.org/10.1787/fmt-2013-5jzb2rhkd65b Volltext |
| spellingShingle | Blundell-Wignall, Adrian Bank business models and the Basel system Complexity and interconnectedness Finance and Investment |
| title | Bank business models and the Basel system Complexity and interconnectedness |
| title_auth | Bank business models and the Basel system Complexity and interconnectedness |
| title_exact_search | Bank business models and the Basel system Complexity and interconnectedness |
| title_full | Bank business models and the Basel system Complexity and interconnectedness Adrian, Blundell-Wignall, Paul, Atkinson and Caroline, Roulet |
| title_fullStr | Bank business models and the Basel system Complexity and interconnectedness Adrian, Blundell-Wignall, Paul, Atkinson and Caroline, Roulet |
| title_full_unstemmed | Bank business models and the Basel system Complexity and interconnectedness Adrian, Blundell-Wignall, Paul, Atkinson and Caroline, Roulet |
| title_short | Bank business models and the Basel system |
| title_sort | bank business models and the basel system complexity and interconnectedness |
| title_sub | Complexity and interconnectedness |
| topic | Finance and Investment |
| topic_facet | Finance and Investment |
| url | https://doi.org/10.1787/fmt-2013-5jzb2rhkd65b |
| work_keys_str_mv | AT blundellwignalladrian bankbusinessmodelsandthebaselsystemcomplexityandinterconnectedness AT atkinsonpaul bankbusinessmodelsandthebaselsystemcomplexityandinterconnectedness AT rouletcaroline bankbusinessmodelsandthebaselsystemcomplexityandinterconnectedness |