We study the impact of higher bank capital requirements on corporate lending spreads using granular bank- and loan-level data. Our empirical strategy employs heterogeneity in across banks time implementation Switzerland. find that changes deviation from regulatory minimum affect asymmetrically. In response to a reduction deviation, with deficits respect their risk-weighted requirement raise rel...

We develop a framework for price-mediated contagion in financial systems where banks are forced to liquidate assets satisfy risk-weight based capital adequacy requirement. In constructing this modeling framework, we introduce two-tier pricing structure: the volume weighted average price that is obtained by any bank liquidating and terminal mark-to-market used account all held at end of clearing...

Based on bank data from 61 of the largest banks in Asia and Middle East, this paper presents an analysis effects that capital regulation stringent supervisory actions have extent to which requirements are risk sensitive. While bank-specific factors, namely banks’ buffer, deposit, loans power, statistically-significant, there is no clear evidence prove GDP growth rate affect sensitivity banks. U...

Protection of creditors is a key objective financial regulation. Where the protection needs are high, that is, in banking and insurance, regulatory solvency requirements an instrument to prevent incur losses on their claims. The current based value at risk (V@R) average (AV@R) limit probability default institutions, but they fail control size recovery creditors' claims case default. We resolve ...

Abstract We study capital requirement regulation in a dynamic quantitative model which nonfinancial firms, as well households, hold deposits. A novel general equilibrium channel that operates through firms deposits mitigates the cost of increasing requirements. In calibrated model, (a) optimal is 7.3 percentage points higher than comparable all are held by and (b) setting true optimum not costl...

On December 14, 2001, the Payment Cards Center of the Federal Reserve Bank of Philadelphia held a workshop exploring retail credit risk modeling practices and evolving techniques. The workshop was led by Paul Calem, a senior economist at the Board of Governors, Division of Research and Statistics. Calem is currently involved in the Board's efforts supporting reforms to the international Basel C...