Emerging problems with the Basel Capital Accord: Regulatory capital arbitrage and related issues☆

By David S. Jones. 2000

481 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0ba7ef4329e36a1761c5a31c457cd3edf8907d74

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Citations in the corpus

What drives bank securitisation? The Spanish experience. (2010, methodology): “5 In Jones (2000), there is an analysis of the principal techniques used to perform capital arbitrage under this Accord (Basel I).”
Credit risk rating systems at large US banks (2000, background): “This distortion in the regulatory ``pricing'' of risk has motivated banks to invent a variety of schemes for regulatory capital arbitrage, that is, for e ectively circumventing the capital requirement (Jones, 2000).”
The Limits of Model-based Regulation (2014, unknown): “…capital charges and the potential problems associated with them have been discussed in several papers, for example, Brinkmann and Horvitz (1995), Jones (2000), Daníelsson, Embrechts, Goodhart, Keating, Muennich, Renault, and Shin (2001), Kashyap and Stein (2004), Hellwig (2010), and Behn,…”
The Three Pillars of Basel II, Optimizing the Mix (2004, background): “3 Jones (2000) also criticizes the Basel Accord by showing how banks can use flnancial innovation to”
Subordinated Debt and Bank Capital Reform (2000, background): “See Jones 2000.”
Banking Business Models Monitor 2015 Europe (2016, unknown): “Jones (2000) discusses several forms of ‘cosmetic’ adjustments that banks can undertake to reduce risk-weights, including the concentration of assets in the highest risk classes for a given risk-weight, various forms of credit enhancements, remote-origination, and structured transactions.”
REGULATION AND SUPERVISION OF ISLAMIC BANKS (2000, unknown): “Since the implementation of these capital standards has strengthened banks’ capital worldwide and improved systemic stability,34 they have become a convenient benchmark for measuring the 32 See, BCBS, International Convergence of Capital Measurement and Capital Standards (July 1988).”
Procyclicality in Basel II: Can we treat the disease without killing the patient? (2006, background): “As documented by Jones (2000), the financial innovations that arose in response to this incentive have provided banks with the means to “arbitrage” differences between regulatory and economic capital.”
Risk-based capital requirements for mortgage loans (2004, unknown): “Moreover, the current regulatory approach also promotes securitization and other financial innovations that often enable institutions to reduce regulatory capital requirements with little or no corresponding reduction in overall economic risk (Avery and Berger, 1991; Jones, 2000 ).”
Why Do (or Did?) Banks Securitize Their Loans? Evidence from Italy (2010, background): “Some authors effectively view regulatory capital arbitrage as opportunistic behaviour that arises only if there is a malicious intent (e.g. Jackson et al., 1999; Jones, 2000; Jobst, 2005; FSF, 2008; BIS, 2008; Borio, 2008).”
A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules (2003, methodology): “, Jones, 2000) and thus led to curr forts towards reform. It is widely recognized that regulatory arbitrage will continue regulatory capital charges at the instrument level are aligned more closely with unde risk. The Basel Committee on Bank Supervision (1999) undertook a detailed study o banks’ int”
Procyclicality of the financial system and financial stability: issues and policy options (2001, background): “For a discussion of the distortions, see BCBS (1999b), Jones (2000) and Carey (2000).”
Procyclicality and the New Basel Accord: banks' choice of loan rating system (2002, unknown): “The proposed curves will reduce the distortions created by the current Accord where a flat 8% requirement for most private sector loans encourages banks to securitise their high quality loans, effectively increasing the risks carried for a given capital level (see Jones (2000)).”
Securitization and Bank Performance (2013, background): “studies by Mian and Sufi (2008), Keys et al. (2008) and Dell’Ariccia et al.”
The Welfare Cost of Bank Capital Requirements (2008, background): “Interestingly, some of these off-balance sheet activities were developed in the early 1990s to boost reported capital ratios (see Jones, 2000 ).”