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hal.structure.identifier
dc.contributor.authorLépinette, Emmanuel*
hal.structure.identifier
dc.contributor.authorAboura, Sofiane*
dc.date.accessioned2013-09-02T12:40:47Z
dc.date.available2013-09-02T12:40:47Z
dc.date.issued2013
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/11602
dc.language.isoenen
dc.subjectBasel Accordsen
dc.subjectBank Regulationen
dc.subjectSystemic risken
dc.subject.ddc332en
dc.subject.classificationjelG28en
dc.subject.classificationjelG21en
dc.subject.classificationjelG1en
dc.subject.classificationjelE58en
dc.subject.classificationjelE44en
dc.titleAn Alternative Model to Basel Regulationen
dc.typeRapport
dc.description.abstractenThe post-crisis financial reforms address the need for systemic regulation, focused not only on individual banks but also on the whole financial system. The regulator principal objective is to set banks' capital requirements equal to international minimum standards in order to mimimise systemic risk. Indeed, Basel agreement is designed to guide a judgement about minimum universal levels of capital and remains mainly microprudential in its focus rather than being macroprudential. An alternative model to Basel framework is derived where systemic risk is taken into account in each bank's dynamic. This might be a new departure for prudential policy. It allows for the regulator to compute capital and risk requirements for controlling systemic risk. Moreover, bank regulation is considered in a two-scale level, either at the bank level or at the system-wide level. We test the adequacy of the model on a data set containing 19 banks of 5 major countries from 2005 to 2012. We compute the capital ratio threshold per year for each bank and each country and we rank them according to their level of fragility. Our results suggest to consider an alternative measure of systemic risk that requires minimal capital ratios that are bank-specific and time-varying.en
dc.identifier.citationpages22en
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00825018en
dc.subject.ddclabelEconomie financièreen
dc.description.submittednonen
hal.author.functionaut
hal.author.functionaut


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