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• W3205952730 abstract "The Basel III framework comes with the requirement of a minimum leverage ratio as a backstop to the existing Basel II risk-based capital ratio. Given that Canada and the US have adopted similar double capital rules prior to Basel III, we study the implications of these two rules on bank capital adjustments. We show that the mix of the two-capital rules can be viewed as a “hockey stick” shape single leverage ratio akin to a call option on the bank asset risk, measured by the risk-weighted assets (RWA) -to- total assets ratio, known as the RWA density. The exercise price of this call option is the quotient of the required minimum leverage ratio and the minimum risk-based capital ratio. Since a tighter limit was imposed in Canada than in the US on the combined leverage ratio, Canadian banks has exhibited asset risk-sensitive leverage ratios well before the 2007 global financial crisis (GFC). Meanwhile, the loosening regulatory limit on the US bank leverage ratio has rendered the leverage ratio in the US irresponsive or inversely related to US banks’ asset risk." @default.
• W3205952730 created "2021-10-25" @default.
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• W3205952730 date "2021-01-01" @default.
• W3205952730 modified "2023-09-26" @default.
• W3205952730 title "Risk-Based Capital and Leverage Ratios Adjustments by Banks: Experience from Canada and the U.S." @default.
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• W3205952730 doi "https://doi.org/10.2139/ssrn.3930101" @default.
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