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- W2046742912 abstract "regulating bank capital, however, is a detailed consideration of the impact of such regulation on individual bank behavior and whether the regulation actually achieves its desired result.' Typically regulation is assumed to function in an essentially ceteris paribus environment, whereby the mere addition of capital to the bank's balance sheet reduces risk. The purpose of this paper is to examine explicitly the issue of portfolio reaction to capital requirements by investigating the effect of capital ratio regulation on the portfolio behavior of commercial banks.2 Implicit in the analysis is the view that bank regulators presently do not constrain portfolio risk so as to prevent such asset reshuffling. Given the lack of objective standards or guidelines on asset portfolio risk, this approach seems more appropriate than to assume no asset portfolio response. This paper examines the portfolio allocation that flows from the portfolio decision of the firm. Next it examines the effects on bank portfolio risk of a regulatory increase in the minimum capital asset ratio that is acceptable to the supervisory agency. For the system as a whole, the results of a higher required capital-asset ratio in terms of the average probability of failure are ambiguous,3 while the intra-industry dispersion of the probability of failure unambiguously increases. This result leads us to question the viability of regulating commercial banks in terms of a capital requirement. Thus, serious consideration should be given to the discontinuance of regulation of bank capital via ratio constraints. Alternatively, regulation should be imposed on both asset composition and capital in a way that has heretofore not been considered." @default.
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- W2046742912 date "1980-12-01" @default.
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- W2046742912 title "Regulation of Bank Capital and Portfolio Risk" @default.
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- W2046742912 doi "https://doi.org/10.1111/j.1540-6261.1980.tb02206.x" @default.
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