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Preface | p. vii |
Introduction to the Basel Capital Accords | p. 1 |
The Basel Committee on Banking Supervision | p. 1 |
1988 Capital Accord (Basel I) | p. 2 |
The New Basel Capital Accord (Basel II) | p. 4 |
Conclusion | p. 8 |
References | p. 9 |
The New Basel Capital Accord: Is 8% Adequate? | p. 11 |
The Decline in U.S. Bank Equity Capital/Asset Ratios | p. 12 |
Changing Risk Profile of Banks | p. 14 |
Conclusion | p. 22 |
References | p. 24 |
Why and How Banks Fail--Would 8% Capital Make a Difference? | p. 29 |
My Experiences with Troubled Banks | p. 29 |
I Moved on to the Bank of New England | |
Corporation | p. 31 |
Four Propositions | p. 32 |
Conclusion | p. 36 |
References | p. 37 |
Basel II: The Roar That Moused | p. 39 |
Introduction | p. 39 |
Overview of Basel and Pillar 1 | p. 40 |
Supervisory Review (Pillar 2) | p. 43 |
Market Discipline (Pillar 3) | p. 46 |
Conclusions | p. 48 |
References | p. 50 |
Basel II Creates an Uneven Playing Field | p. 53 |
Bank Capital | p. 54 |
Different Methods of Calculating Credit Risk Give Different Capital Requirements | p. 56 |
Real Estate | p. 56 |
The 1985-1991 Period | p. 57 |
Real Estate Lending 2002 | p. 59 |
Bank Failures and Loans Charged-Off In 2002 | p. 62 |
Conclusions | p. 63 |
References | p. 65 |
Market Discipline: Is It Fact or Fiction? | p. 67 |
What Is Market Discipline? | p. 68 |
Market Discipline Is Based on Information | p. 71 |
Insiders and Outsiders | p. 73 |
Does Market Discipline Work for Banks? | p. 82 |
Implications | p. 84 |
Conclusion | p. 86 |
References | p. 88 |
Comments on Gup's Paper, "Market Discipline: Is it Fact or Fiction?" | p. 95 |
The New Basel Capital Accord and Questions for Research | p. 97 |
Introduction | p. 97 |
Problems with Basel I | p. 100 |
Objectives of the New Basel Accord | p. 101 |
Key Elements of the Package | p. 102 |
Questions for Research on Three Fronts | p. 107 |
Final Comments | p. 118 |
References | p. 119 |
The New Basel Accord and Advanced IRB Approaches: Is There a Case for Capital Incentives? | p. 125 |
Introduction | p. 125 |
Capital Concessions in the New Accord | p. 126 |
Bank Investment in Risk Management Systems | p. 129 |
Deposit Insurance and Capital Concessions | p. 133 |
Calculating Capital Concessions | p. 135 |
Adjusting the Price of Deposit Insurance | p. 143 |
Regulatory Incentives and Risk Management | p. 146 |
Conclusion | p. 147 |
References | p. 148 |
Pro-cyclicality, Banks' Reporting Discretion, and "Safety in Similarity" | p. 151 |
Introduction | p. 153 |
Literature and Historical Review | p. 156 |
Data and Methodology | p. 161 |
Results | p. 165 |
Summary and Implications | p. 173 |
References | p. 174 |
The Inadequacy of Capital Adequacy Policies for Financial Institution Regulation | p. 177 |
What is Capital? | p. 177 |
Historical Perspective: Capital Adequacy | p. 182 |
Economic Net-Worth: Capital as a Conditional Random Variable | p. 191 |
Alterenatives to Traditional Capital Adequacy | p. 204 |
Conclusion | p. 213 |
References | p. 214 |
Bank Lending and the Effectiveness of Monetary Policy Under a Revised Basel Accord | p. 217 |
Introduction | p. 217 |
Risk-Based Capital | p. 220 |
The Model | p. 221 |
Unconstrained and Constrained Banks | p. 225 |
Monetary Policy and Credit Ratings Migration | p. 231 |
Risk Based Capital and Internal Credit Risk Models | p. 233 |
Conclusions | p. 234 |
References | p. 236 |
Is the New Basel Accord Incentive Compatible? | p. 239 |
Introduction | p. 239 |
The Risk Neutral Model | p. 243 |
Regulatory Capital Requirements for Corporate Lending | p. 246 |
Shareholder Value Maximization Under Risk Neutrality | p. 252 |
Assessing the Implications of the New Basel Accord | p. 260 |
Modeling Investor Risk Aversion | p. 263 |
Optimal Bank Behavior when Shareholders are Risk Averse | p. 267 |
Conclusion | p. 277 |
Appendix | p. 278 |
References | p. 283 |
Optionality and Basel II | p. 285 |
Introduction | p. 285 |
The Effect of Interest Rate Changes on a Fully Immunized Bank | p. 288 |
Interest Rate Changes--Positive and Negative Duration | p. 295 |
Conclusion | p. 300 |
References | p. 301 |
The Impact of the Basel II Capital Accord on Australian Banks | p. 305 |
Introduction | p. 305 |
The Rationale for Prudential Regulation | p. 306 |
The Structure of the Australian Banking Industry | p. 308 |
Prudential Regulation in Australia | p. 312 |
The Impact of Basel I on the Australian Banking System | p. 315 |
The Potential Impact of Basel II on the Australian Banking System | p. 319 |
Conclusion | p. 332 |
References | p. 333 |
Basel Skepticism: From a Hungarian Perspective | p. 337 |
Introduction | p. 337 |
Diverging Reactions: Europe Versus the United States | p. 338 |
Dilemmas and Trade-Offs of the Average Hungarian Bank | p. 347 |
Procyclicality of the Hungarian Banking System | p. 361 |
Conclusions or Basel Scepticsm | p. 365 |
References | p. 367 |
The New Basel Capital Accord and Its Impact on Japanese Banking: A Qualitative Analysis | p. 371 |
Introduction | p. 371 |
The Main Characteristics of the New Basel Accord | p. 373 |
The Japanese Banking Sector | p. 378 |
Lessons from the Past: Basel I and Japanese Banks | p. 398 |
The Formal Reaction of Japanese Banks to the New Basel Accord | p. 401 |
The Tactical and Strategic Implications of the New Basel Accord for Japanese Banking | p. 403 |
Conclusions | p. 428 |
References | p. 430 |
About the Authors | p. 443 |
Index | p. 449 |
Table of Contents provided by Rittenhouse. All Rights Reserved. |
Ã¥¼Ò°³
Becoming operational in 2007, the Basel Capital Accord initiative is an effort to bring order to international capital markets and level the playing field for banks. Bottom line, officials hope to align capital with the risks faced by banks. However, despite the worldwide endorsements by regulators, the Accord may not be the "sure thing" everyone hopes it will be. It is very costly to implement and is not suitable for all banks. The question remains, though: Will it succeed? Gathering perspectives from the top minds in the field of international banking and finance, Gup's intriguing book The New Basel Capital Accord offers authoritative, provocative, and practical discussion and analysis of the impact of the Accord and discusses new opportunities for regulatory arbitrage.
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