نظارت بر دست "نامرئی" نظم و انضباط بازار: کفایت سرمایه بازبینی شده
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|40960||2015||18 صفحه PDF||سفارش دهید||13239 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of Banking & Finance, Volume 50, January 2015, Pages 475–492
The recent U.S. financial crisis and governmental bailout of financial institutions have intensified the debate on the need for effectively measuring and monitoring the financial institutions’ risks. This paper contributes to this discussion by introducing a market-based capital measurement that better captures the dynamics of bank risk and returns. Evidence confirms that these market-based capital adequacy metrics are much more sensitive to risk factors and more responsive to economic events than the traditional accounting/regulatory report based capital models, which often underestimate the true capital needs. The CDS premia, another market-bases solvency measure, seems to overreact to declines in capital adequacy.