A Value-at-Risk Approach to Banks' Capital Buffers: An Application to the New Basel Accord.

The rating-sensitive capital charges on credit risks under the new Basel Accord are likely to increase the volatility of minimum capital requirements, which may force banks to hold larger capital cushions in excess of minimum requirements. We analyse this claim on the basis of numerical simulations on hypothetical bank portfolios, in which the bank's choice of capital cushion is assumed to satisfy a value-at-risk-type constraint.

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Year of publication:	2001
Authors:	Jokivuolle, E. ; Peura, S.
Subject:	CAPITAL \| CREDIT \| RISK \| BANKS

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Type of publication:	Book / Working Paper
Notes:	22 pages
Classification:	E51 - Money Supply; Credit; Money Multipliers ; G21 - Banks; Other Depository Institutions; Mortgages ; G24 - Investment Banking; Venture Capital; Brokerage ; D81 - Criteria for Decision-Making under Risk and Uncertainty
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005660789