Electronic Resource
Bradford
:
Emerald
Journal of financial regulation and compliance
13 (2005), S. 65-79
ISSN:
1358-1988
Source:
Emerald Fulltext Archive Database 1994-2005
Topics:
Economics
Notes:
The purpose of this paper is to provide banking regulators with another tool to crosscheck the appropriateness and consistency of levels of capital adequacy for banks. The process begins by examining banking systems and focuses on market risks and the systemic risks associated with growing global economic integration and associated systemic interdependence. The model provides benchmarks for economic and regulatory capital for international banking systems using country, regional and global stock-market generated price index returns data. The benchmarks can then be translated to crosschecking capital levels for banks within those systems. For analytical purposes systems are assumed to possess a degree of informational efficiency and credit, liquidity and operational risks are held constant or at least assumed to be covered in loan loss provisions. An empirical study is included that demonstrates how market risk and systemic risk can be accounted for in a benchmark banking system performance model. Full testing of the model is left for future research. The paper merely proposes that such an approach is feasible and useful and it is in no way intended to be a replacement for the current Basel Accord.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1108/13581980510621974
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