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Pillar 1 vs Pillar 2 Under Risk Management
Year Of Publication: 2004
Month Of Publication: October
Pages: 46
Download Count: 644
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Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 1-29-2005
Publisher: Administrator
Summary
Under the New Basel Accord bank capital adequacy rules (Pillar 1)are substantially revised but the introduction of two new dimensionsto the regulatory framework is, perhaps, of even greater significance.This paper investigates the complementarity between Pillar 1 (risk-based capital requirements) and Pillar 2/PCA and, in particular, therole of closure rules with costly recapitalization when banks are ableto manage their portfolios dynamically. A feature of our approach isto consider the costs as well as the benefits of capital regulation in away that accommodates the behavioral response of banks in terms oftheir portfolio strategy and capital structure and, further, the extentto which capital rules are effective, i.e., the extent to which banks can“cheat
Author(s)
Pelizzon, Loriana Sign in to follow this author
Schaefer, Stephen M. Sign in to follow this author
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