The Leverage Ratio as a Bank Discipline Device
Résumé
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.
Domaines
Economies et finances
Origine : Fichiers produits par l'(les) auteur(s)