Bank capital regulation as an incentive mechanism: Implications for portfolio choice

Journal of Banking and Finance

Volumn 26, Issue 1, 2002, Pages 1-23

  Milne, Alistair ^a  

^a CITY UNIVERSITY   (United Kingdom)

Author keywords

Basel risk weightings; Prudential capital; Regulatory design

Indexed keywords

EID: 10344242465     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(01)00198-4     Document Type: Conference Paper

References (14)

1. Basel Committee on Banking Supervision, 1999. Capital requirements and bank behaviour: The impact of the Basel Accord, Working paper no. 1, Bank for International Settlements, Basel, April.
2. Freixas, X., Rochet, J.-C., 1997. Microeconomics of Banking. MIT Press, Cambrigde, MA.
3. Calomiris, C.W., 1999. Building an incentive compatible safety net. Journal of Banking & Finance 24 (2) 399-417.
4. Dowd, K., 1998. Beyond Value at Risk. Wiley, Chichester, UK.
5. Froot, K., Stein, J., 1998. A new approach to capital budgeting for financial institutions. Journal Financial Economics 47, 55-82.
6. Giammarino, R.M., Lewis, T.R., Sappington, D., 1993. An incentive approach to banking regulation. Journal of Finance 48, 1523-1542.
7. Kahane, A., 1977. Capital regulation and the solvency of financial institutions. Journal of Banking and Finance 1, 207-218.
8. Koehn, M., Santomero, A., 1980. Regulation of bank capital and portfolio risk. Journal of Finance 35, 1235-1244.
9. Kupiec, P.H., O'Brien, J.M., 1997. The pre-commitment approach: Using incentives to set market risk capital requirements. Federal Reserve Board Finance and Economics Discussion Series, no. 97-14, March.
10. Marshall, D., Venkataraman, S., 1999. Bank capital standards for market risk: A welfare analysis. European Finance Review 2, 125-157.
11. Matten, C., 2000. Managing Bank Capital: Capital Allocation and Performance Measurement, 2nd ed. Wiley, New York.
12. Milne, A., Elizabeth Whalley, A., 1999. Bank capital and risk taking. Bank of England Working paper no. 90, available on the Bank of England website.
13. Milne, A., Elizabeth Whalley, A., 2001. Bank capital regulation and incentives for risk-taking. Mimeo., City University Business School, London. Available from 〈http://www.staff.city.ac.uk/~amilne〉.
14. Modigliani, F., Miller, M.H., 1958. The cost of capital, corporation finance, and the theory of investment. American Economic Review 48, 261-297.