Credit Risk and the Role of Capital Adequacy Regulation
Credit Risk and the Role of Capital Adequacy Regulation
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信用风险和资本充足率监管的作用
DOI：
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发表时间：
2002
期刊：
影响因子：
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通讯作者：
P. Welzel
中科院分区：
文献类型：
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作者：
T. Pausch;P. Welzel
使用产业组织的方法，银行微观经济学，我们模拟一个大的（蒙蒂克莱因）银行，这是风险中性，并面临信贷的不确定性，在其贷款业务。分析了资本充足率监管的影响以及风险变化对存款和贷款利率的影响。然后，我们表明，资本充足率监管诱导银行的行为，如果它是风险厌恶。最后，我们研究了风险管理与信用衍生品的框架内，拟议的新巴塞尔资本雅阁，这种对冲业务明确占减少风险的立场，银行。在这种环境下，分离和充分对冲的结果。
Using the industrial organization approach to the microeconomics of banking we model a large (Monti-Klein) bank which is risk neutral and faces credit uncertainty in its loan business. The impact of capital adequacy regulation and the effect of changes in risk on deposit and loan rates are analyzed. We then show that capital adequacy regulation induces the bank to behave as if it were risk averse. Finally, we examine risk management with credit derivatives in the framework of the proposed New Basel Capital Accord where such hedging operations are explicitly accounted as reducing the risk position of a bank. In this environment separation and full hedge results are derived.