Basel II and regulatory arbitrage. Evidence from financial crises

Beltratti, Andrea; Paladino, Giovanna

doi:10.1016/j.jempfin.2016.02.006

Cited by 31 publications

(19 citation statements)

References 22 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…In this context, heterogeneity describes the fact that identical assets are assigned different risk weights (Turk-Ariss, 2017). This effect has been measured by researchers like Beltratti and Paladino (2016), Mariathasan and Merrouche (2014) and Vallascas and Hagendorff (2013) using the ratio of risk-weightedassets to total assets, namely the risk weight density, which is also used in this article. In order to provide a comparison with other banks, the results of the simulation are compared with the findings of Mariathasan and Merrouche (2014) as they observed the RWD development of a sample of 115 IRB-banks in 21 OECD-countries.…”

Section: Discussionmentioning

confidence: 99%

The Problem of Heterogeneity withinRisk Weights: Does Basel IV containthe Solution?

Binder

Lehner

2019

JOFRP

View full text Add to dashboard Cite

The article uses a bank’s credit data to study the impact of the Basel IV regulations on risk weight density (RWD). The analysis of the simulated data shows mixed results, as the improvement of risk weight heterogeneity is restricted to optimistically valued portfolios. Conservatively valued portfolios are likely to be confronted with an RWD decrease. However, within these portfolios, risk weight heterogeneity usually does not play an important role. Out of all the analysed Basel IV rules, the output floor clearly has the biggest influence on risk weight density, while the effect of the input floors is very limited within optimistically valued portfolios and is even eliminated by the removal of the scaling factor within conservatively valued portfolios. The change in RWD will also lead to a concurrent change in risk-weighted assets and therefore also in the level of eligible capital. The findings within the retail portfolio confirm those of the EBA study, which already suggested that Basel IV and especially the output floor will lead to a significant increase of risk capital (European Banking Authority, 2018).

show abstract

Section: Discussionmentioning

confidence: 99%

The Problem of Heterogeneity withinRisk Weights: Does Basel IV containthe Solution?

Binder

Lehner

2019

JOFRP

View full text Add to dashboard Cite

show abstract

“…54 Jokivuolle (2018). 55 Beltratti and Paladino (2016). 56 Goodhart and Lastra (2010), p 715. jurisdictions.…”

Section: Conditions For and Causes Of Regulatory Arbitragementioning

confidence: 99%

A Risk Characterization of Regulatory Arbitrage in Financial Markets

Minto

Prinz

Wulff

2021

Eur Bus Org Law Rev

View full text Add to dashboard Cite

This article analyses regulatory arbitrage in financial markets from a risk-based perspective. It assesses regulatory arbitrage in terms of the risk it may pose to the attainment of a regulatory objective, in this case financial stability. Its most distinct contribution to the literature is the application of the NOAEL approach—thus far mainly used in public health literature and regulatory toxicology—to the legal analysis and management of arbitrage risks. We propose several qualitative parameters relating to the likelihood of regulatory arbitrage and the negative impact if such arbitrage should occur. The article ultimately aims to help frame the ongoing debate about policy-making and the use of risk assessment methodologies to cope with regulatory arbitrage in financial markets.

show abstract

“…Basel II is an end result of efforts toward more risk-sensitive capital adequacy measures in the banking industry (Tiryaki, 2011). Proposed in 2004 by the Basel Committee, Basel II accords are more comprehensive and define a more relevant measure of risk (Beltratti & Paladino, 2016). This new regulatory framework is essentially based on 3 pillars for a best understanding on banking risks.…”

Section: Literature Reviewmentioning

confidence: 99%

Impact of Basel Iii Regulations on Banks: Evidence from Afriland First Bank in Cameroon

2019

RJFA

View full text Add to dashboard Cite

Bank financing is an engine of economic growth, mainly where financial intermediation is more advanced. The public authorities are therefore faced with the obligation to advocate for the resilience of the financial system. As part of their assignments, supervisors are working to put in place prudential regulation that would require banks to have a solid financial base to face the various risks and perils. Although the financial crisis has confirmed the need for adjustments in prudential regulation, the financial institutions have denounced the high cost of the new Basel requirements, a cost that would inevitably weigh on the banking activity and, consequently, on the economic activity. Based on this observation, we are conducting an impact study whose objective would is to evaluate and demonstrate the impact of the implementation of the Basel III agreements in Cameroon.

show abstract

Basel II and regulatory arbitrage. Evidence from financial crises

Cited by 31 publications

References 22 publications

The Problem of Heterogeneity withinRisk Weights: Does Basel IV containthe Solution?

The Problem of Heterogeneity withinRisk Weights: Does Basel IV containthe Solution?

A Risk Characterization of Regulatory Arbitrage in Financial Markets

Impact of Basel Iii Regulations on Banks: Evidence from Afriland First Bank in Cameroon

Contact Info

Product

Resources

About