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
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Soumis le : mercredi 12 novembre 2014 - 19:47:34 Dernière modification le : vendredi 23 octobre 2020 - 16:40:31 Archivage à long terme 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⟩