Unintended consequences of the market risk requirement in banking regulation

DOI10.1016/j.jedc.2010.06.006zbMath1231.91346OpenAlexW3125083841MaRDI QIDQ603004

Leonard Kofman, Jussi Keppo, Xu Meng

Publication date: 5 November 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2010.06.006

zbMATH Keywords

investmentdividendsbank capitalbank regulationcapital issues

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (2)

On the Measurement of Economic Tail Risk ⋮ Opaque bank assets and optimal equity capital

Cites Work

• Unnamed Item
• State-contingent bank regulation with unobserved actions and unobserved characteristics
• The role of bank capital in the propagation of shocks
• Ruin problems with compounding assets
• Firm behaviour under the threat of liquidation
• Bank capital regulation with random audits.
• Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example
• Coherent Measures of Risk
• OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR
• Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy
• Diffusion approximations in collective risk theory
• Arbitrage Theory in Continuous Time
• Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
• Optimal risk control for a large corporation in the presence of returns on investments

This page was built for publication: Unintended consequences of the market risk requirement in banking regulation