| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8526 |
| DP8526 Capital Regulation and Tail Risk | |
| Enrico Perotti; Lev Ratnovski; Razvan Vlahu | |
| 发表日期 | 2011-08-01 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | The paper studies risk mitigation associated with capital regulation, in a context where banks may choose tail risk assets. We show that this undermines the traditional result that higher capital reduces excess risk-taking driven by limited liability. Moreover, higher capital may have an unintended e¤ect of enabling banks to take more tail risk without the fear of breaching the minimal capital ratio in nontail risky project realizations. The results are consistent with stylized facts about pre-crisis bank behavior, and suggest implications for the optimal design of capital regulation. |
| 主题 | Financial Economics |
| 关键词 | Capital regulation Keywords: banking Risk Risk-taking Systemic risk Tail risk |
| URL | https://cepr.org/publications/dp8526 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537360 |
| 推荐引用方式 GB/T 7714 | Enrico Perotti,Lev Ratnovski,Razvan Vlahu. DP8526 Capital Regulation and Tail Risk. 2011. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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