Capital regulation and tail risk /

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Bibliographic Details
Author / Creator:	Perotti, Enrico Camillo, author.
Imprint:	[Washington, D.C.] : International Monetary Fund, ©2011.
Description:	1 online resource (39 pages)
Language:	English
Series:	IMF working paper, 1018-5941 ; WP/11/188 IMF working paper ; WP/11/188.
Subject:	Bank capital -- State supervision -- Econometric models. Banks and banking -- State supervision -- Econometric models. Financial risk management -- Econometric models. Electronic books.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12499454

Hidden Bibliographic Details
Other authors / contributors:	Ratnovski, Lev, author. Vlahu, Razvan E., 1977- author. International Monetary Fund. Research Department, issuing body.
ISBN:	1283567822 9781283567824 9781463900663 146390066X 1462308260 9781462308262 9781462308262
Notes:	At head of title: Research Department. Title from PDF title page (IMF Web site, viewed October 7, 2011). "August 2011." Includes bibliographical references.
Summary:	The paper studies risk mitigation associated with capital regulation, in a context where banks may choose tail risk asserts. We show that this undermines the traditional result that high capital reduces excess risk-taking driven by limited liability. Moreover, higher capital may have an unintended effect of enabling banks to take more tail risk without the fear of breaching the minimal capital ratio in non-tail risky project realizations. The results are consistent with stylized facts about pre-crisis bank behavior, and suggest implications for the optimal design of capital regulation.
Other form:	Print version: Fund, International Monetary. Capital Regulation and Tail Risk. Washington : International Monetary Fund, ©2011 9781462308262
Standard no.:	10.5089/9781462308262.001

Table of Contents:

Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. The Model; 1. The Timeline; 2. The Two Opposite Effects of Capital on Bank Risk-taking; III. "Skin in the Game" and Tail Risk; A. Payoff and Project Choice; B. Comparative Statics; C. Economic Significance: A Quantitative Example; 3. Tail Risk and the Initial Capital Required to Prevent Risk-shifting; IV. Tail Risk and the Unintended Effects of Higher Capital; A. Payoffs and the Recapitalization Decision; 4. Bank's Recapitalization Decision and Payoffs; B. Project Choice; 5. Bank's Project Choice; C. Comparative Statics.
6a. Bank's Project Choice When the Risky Project has a Heavier Left Tail. Case 16b. Bank's Project Choice When the Risky Project has a Heavier Left Tail. Case 2; V. Bank Capital Choices and Optimal Capital Regulation; VI. Conclusion; 1. Proofs; 2. Extensions; References; Footnotes.

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