Abstract : This paper investigates bank portfolio composition under Basel II where the amount of required capital is determined by bank's own risk assessment. We particularly show that in presence of asymmetric information between the bank and the supervisor, it has incentives to understate its risk taking which could be curbed by the addition of the simple leverage ratio as suggested in Basel III.
https://hal-unilim.archives-ouvertes.fr/hal-00785487
Contributeur : Françoise Merigaud
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Soumis le : mercredi 12 novembre 2014 - 19:47:34
Dernière modification le : mercredi 28 février 2018 - 17:06:02
Document(s) archivé(s) le : vendredi 13 février 2015 - 11:36:12
Clovis Rugemintwari. The Leverage Ratio as a Bank Discipline Device. Revue Economique, Presses de Sciences Po, 2011, 62 (3), pp.479-490. ⟨10.3917/reco.623.0479⟩. ⟨hal-00785487⟩
