The effect of stricter capital regulation on banks’ risk-taking: Theory and evidence

Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

Abstract

A simple portfolio choice model shows that, when a bank's capital is constrained by regulation, regulatory cost (risk weightings) alters the risk and value calculations for the bank's assets. In particular, we find that banks may respond to stricter regulation by increasing the share of high-risk assets. Our empirical results show that US banks responded to the implementation of the stricter Basel II regulations by increasing the share of high-risk assets in the risky part of their portfolios.

Detaljer

Författare
Enheter & grupper
Externa organisationer
  • Copenhagen Business School
Forskningsområden

Ämnesklassifikation (UKÄ) – OBLIGATORISK

  • Nationalekonomi

Nyckelord

Originalspråkengelska
TidskriftEuropean Financial Management
StatusE-pub ahead of print - 2018 nov 11
PublikationskategoriForskning
Peer review utfördJa