ابزار های انتظامی و قرار گرفتن در معرض ریسک بانک
|کد مقاله||سال انتشار||تعداد صفحات مقاله انگلیسی||ترجمه فارسی|
|15580||2014||28 صفحه PDF||سفارش دهید|
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Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Pacific-Basin Finance Journal, Volume 26, January 2014, Pages 37–64
We investigate the impact of bank capital, market discipline and charter value as bank disciplinary tools on both bank equity risk (systematic risk, total risk, and idiosyncratic risk) and default risk/credit risk. We analyse 218 listed banks across 15 Asia-Pacific countries, and find that bank risk is positively related to bank capital and negatively related to charter value. Consistent with Pillar 3, Basel II and Basel III, we also find that bank risk is negatively associated with market discipline. Further, our results provide evidence that market discipline complements bank capital while market discipline substitutes bank self-disciplinary tools such as charter value. Finally, the magnitude of the charter value coefficient fall dramatically with the global financial crisis across all risk measures. The results are robust to different estimation specifications
In this paper, we develop and test a model of bank risk taking with the primary focus being on the role of bank disciplinary tools: capital adequacy, charter value and market discipline. We explicitly investigate whether these disciplinary tools complement (or substitute) each other in reducing bank risk exposure. Further, we explore whether this role changes after the global financial crisis (GFC) in 2007. Since the onset of the crisis in 2007, policy makers and regulators have been critical of financial institutions for not holding adequate capital reserves. As a result, on the 12th of September 2010, the Group of Governors and Heads of Supervision, the oversight body of the Basel Committee on Banking Supervision, announced a substantial strengthening of existing capital requirements. For example, tier 1 capital requirements, which include common equity and other qualifying financial instruments based on stricter criteria, will increase from 4% to 6%. It is important to improve our understanding of the relevance of this reform to the Asia-Pacific region.
نتیجه گیری انگلیسی
This paper investigates bank capital, charter value, and market discipline as potential determinants of bank equity risk, credit risk and Z-score. The sample consists of 218 listed banks across 15 Asia-Pacific countries over a period from 1996 to 2010. Our results show that bank risk is positively related to bank capital and negatively related to charter value. However, we find no evidence of a non-linearity between bank capital and bank risk. Market discipline is found to be negatively associated with bank risk consistent with risk-based capital standards (Pillar 3, Basel II and Basel III). Further, the findings of our study suggest that bank capital and market discipline may complement each other while market discipline and charter value may substitute each other in reducing bank's risk taking incentives. The results demonstrate that the effect of bank disciplinary tools on bank risk taking differs for diversified banks. We also find support for the argument that capital requirement may not offset bank's risk taking incentive exacerbated by the provision of government safety nets. The results are robust to alternate measures of market discipline and charter value. The system GMM estimates are robust to endogeneity concern in our main explanatory variables.