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Has regulatory capital made banks safer?: skin in the game vs moral hazard
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| Titel: | Has regulatory capital made banks safer?: skin in the game vs moral hazard/ Ernest Dautović |
| Format: | E-Book |
| Sprache: | Englisch |
| veröffentlicht: |
Frankfurt am Main, Germany
European Central Bank
[2020]
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| Gesamtaufnahme: |
Europäische Zentralbank: Working paper series ; no 2449 (July 2020)
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| Quelle: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
| Zusammenfassung: | The paper evaluates the impact of a phased-in introduction of capital requirements on equity, risk-taking, and probability of default for a sample of European systemically important banks. Contrary to the case of a one-off introduction of capital requirements, this study does not find evidence of deleveraging through asset sales. A phased-in tightening promotes adjustment to lower leverage via an increase in equity thereby improving resilience and loss absorption capacity. The higher resilience comes at the cost of a portfolio reallocation towards riskier assets. Consistently with models on agency costs and gambling for resurrection, the risk-taking is driven by large and less profitable banks. The net impact on bank probabilities of default is positive albeit statistically insignificant, suggesting that risk-taking may crowd-out solvency. |
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| Umfang: | 1 Online-Ressource (circa 77 Seiten); Illustrationen |
| ISBN: |
9789289943673
928994367X |
| DOI: | 10.2866/002634 |