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- W324076188 abstract "This research has studied bank risk management in relation to efficient bank regulationin the form of optimal bank financial reorganization. Efficient banking regulation can beachieved only if it includes closure policies which prevent moral hazard behaviour; inturn, they should enhance bank regulators' accountability. Yet, Basel II gives morediscretion to domestic banking authorities and focuses more on the implementation ofbest practices of risk management. This creates a gap between the needs of efficientbanking regulation and the objectives of Basel II, on the one hand, and Indonesian bankregulation on the other. To fill the gaps, the Fries, Mella-Barral, Peraudin (FMP) model,under a regulatory regime concept, is used to provide a framework for bankingregulation.Optimal bank reorganization aims at achieving efficient bank regulation, where bankregulators are assumed to act as social planners. In this thesis, optimal bankreorganization is analysed within the concept of a robust regulatory regime. Optimalbank reorganization comprises closure rules and bailout policies arising endogenouslythrough the interaction of two factors, namely regulators' attempts to minimizediscounted, expected bankruptcy costs, and equity-holders' incentives to recapitalisebanks. The shareholders will be allowed to continue to control the bank if the bank iswell capitalized. The cash flow approach to optimal bank financial reorganization isadopted. The subsidy policies for financially ailing banks consider the implementation ofsocially-optimal closure rules at minimum financial cost to regulators and which reducemoral hazard. The FMP model implies that optimal bank reorganization requires adeposit insurance scheme. The FMP model involves capital and risk management ascrucial factors.This research includes an empirical study of the implementation of the FMP model inIndonesia using the American call option approach. Maximum likelihood estimates inVAR and GARCH are applied to monthly data on the market return and equity anddeposit values for relatively-large Indonesian banks, including regional banks andforeign banks. The results indicate that the authorities can establish an optimal closurerule for each bank, levy fair deposit insurance premiums that can be adjusted to take account of quantitative and qualitative factors, estimate optimal subsidies at differentdeposit insurance premiums, and identify the banks' imminence to bankruptcy. (Continues...)." @default.
- W324076188 created "2016-06-24" @default.
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- W324076188 date "2004-01-01" @default.
- W324076188 modified "2023-09-27" @default.
- W324076188 title "Optimal bank regulation and risk management for Indonesia" @default.
- W324076188 hasPublicationYear "2004" @default.
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