Bank safety under Basel II capital requirements
Vauhkonen, Jukka (05.10.2009)
Numero
29/2009Julkaisija
Bank of Finland
2009
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi:bof-20140807152Tiivistelmä
We consider the impact of mandatory information disclosure on bank safety in a spatial model of banking competition in which a bank s probability of success depends on the quality of its risk measurement and management systems. Under Basel II capital requirements, this quality is either fully or partially disclosed to market participants by the Pillar 3 disclosures. We show that, under stringent Pillar 3 disclosure requirements, banks equilibrium probability of success and total welfare may be higher under a simple Basel II standardized approach than under the more sophisticated internal ratings-based (IRB) approach.
Julkaisuhuomautus
Published in Journal of Financial Services Research, Volume 41, Numbers 1-2, 2012: 37-49