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Report
Bank capital and value in the cross section
Thakor, Anjan V.; Mehran, Hamid
(2009)
We address two questions: (i) Are bank capital structure and value correlated in the cross section, and if so, how? (ii) If bank capital does affect bank value, how are the components of bank value affected by capital? We first develop a dynamic model with a dissipative cost of bank capital that is traded off against the benefits of capital: strengthened incentives for the bank to engage in value-enhancing loan monitoring and a higher probability of avoiding regulatory closure due to loan delinquencies. The model predicts that (i) the total value of the bank and its equity capital are ...
Staff Reports
, Paper 390
Journal Article
Bank capital requirements for market risk: the internal models approach
Hendricks, Darryll; Hirtle, Beverly
(1997-12)
The increases prominence of trading activities at many large banking companies has highlighted bank exposure to market risk-the risk of loss from adverse movements in financial market rates and prices. In response, bank supervisors in the United States and abroad have developed a new set of capital requirements to ensure that banks have adequate capital resources to address market risk. This paper offers an overview of the new requirements, giving particular attention to their most innovative feature: a capital charge calculated for each bank using the output of that bank's internal risk ...
Economic Policy Review
, Volume 3
, Issue Dec
, Pages 1-12
Conference Paper
Capital requirements and optimal bank portfolios: a reexamination
Osterberg, William P.; Thomson, James B.
(1988)
Proceedings
, Paper 194
Working Paper
Credit rating enhancement norms and ratings-based bank capital and deposit insurance premium
Acharya, Sankarshan
(1995)
Finance and Economics Discussion Series
, Paper 95-28
Journal Article
A deposit insurance puzzle
Furlong, Frederick T.; Keeley, Michael C.
(1987)
FRBSF Economic Letter
Journal Article
Proposal to incorporate credit risks on off-balance-sheet interest rate and exchange rate contracts into its proposed risk-based capital measure
anonymous
(1987-05)
Federal Reserve Bulletin
, Issue May
, Pages 350
Journal Article
The impact of capital requirements on U.K. bank behaviour
Ediz, Tolga; Michael, Ian; Perraudin, William
(1998-10)
This paper was presented at the conference "Financial services at the crossroads: capital regulation in the twenty-first century" as part of session 1, "Impact of capital requirements on bank risk taking: empirical evidence." The conference, held at the Federal Reserve Bank of New York on February 26-27, 1998, was designed to encourage a consensus between the public and private sectors on an agenda for capital regulation in the new century.
Economic Policy Review
, Volume 4
, Issue Oct
, Pages 15-22
Working Paper
Primer on the Forward-Looking Analysis of Risk Events (FLARE) Model: A Top-Down Stress Test Model
Correia, Sergio A.; Kiernan, Kevin F.; Seay, Matthew P.; Vojtech, Cindy M.
(2020-02-13)
This technical note describes the Forward-Looking Analysis of Risk Events (FLARE) model, which is a top-down model that helps assess how well the banking system is positioned to weather exogenous macroeconomic shocks. FLARE estimates banking system capital under varying macroeconomic scenarios, time horizons, and other systemic shocks.
Finance and Economics Discussion Series
, Paper 2020-015
Conference Paper
The effect of new capital issues on the prices of holding company shares
Brown, Donald M.; Isberg, Steven C.
(1987)
Proceedings
, Paper 179
Conference Paper
Bank capital structures and the demand for liquid assets
Ramos, Alberto M.
(1996)
Proceedings
, Paper 519
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