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- W3180238750 abstract "OBS banking activities have grwn rapidly in recent years. The risk-based capital requirements of OBS activities presume thatsome OBS activities expose banks to additional and potentially excessive risk. This study employs Ronn-Verma option pricing methodology to calculate implied asset risk, and examine the risk-behavior of OBS activities. This approach incorporates the non-linearity of an option pricing model, deposit insurance and regulatory closure rules. A pooled cross-section and time-series analysis reveals that OBS activities, in general, reduce total risk but do not affect systematic risk. The explanatory power of models is improved significantly when implied asset risk, instead of equity risk, is used to proxy for total risk. The results suggest that risk-based capital regulations of OBS activities may unduly penalize large banks." @default.
- W3180238750 created "2021-07-19" @default.
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- W3180238750 date "1993-01-01" @default.
- W3180238750 modified "2023-09-26" @default.
- W3180238750 title "The Off-Balance Sheet Banking Risk of Large U.S. Commercial Banks" @default.
- W3180238750 hasPublicationYear "1993" @default.
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