Why 'Basel II' May Need a Leverage Ratio Restriction

By Jürg M. Blum. 2008

315 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/8906318dfe675ac82ffce39a7a02f377013b21e7

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Citations in the corpus

What drives bank securitisation? The Spanish experience. (2010, background): “Furthermore, Blum (2008), Bongaerts and Charlier (2009) and Johnston (2009) provide a detailed discussion of the capital requirements under the Basel II Capital Framework. 7 Calmès and Théoret (2010) revisit the impact of off-balance-sheet activities on banks risk-return trade-off.”
Bank Market Power, Economic Growth and Financial Stability: Evidence from Asian Banks (2011, background): “The use of such a variable is consistent with Blum (2008) who highlights that the leverage ratio can be a tool to discipline bank moral hazard.”
The effect of capital ratios on the risk, efficiency and profitability of banks: Evidence from OECD countries (2017, unknown): “For instance, Blum (2008) finds that if banks are free to determine their own risk exposure, they will be incentivized to understate their risk in an effort to avoid higher capital requirements.”
Bank risk and performance in the MENA region: The importance of capital requirements (2016, unknown): “The study shows that the only way to prevent any untruthful bank risk exposure is to create a complementary non-risk-based leverage ratio that serves in addition to the capital regulatory ratio (Blum, 2008; Arnold et al., 2012; Haldane, 2012).”
Banks’ Capital Buffer, Risk and Performance in the Canadian Banking System: Impact of Business Cycles and Regulatory Changes (2013, background): “This leverage ratio requirement has been shown to mitigate asymmetric information and agency problems (e.g., Blum (2008)), and some claim that it helped make Canada’s banking sector more resilient to the recent credit turmoil (e.g., Bordeleau et al (2009) and Dickson (2009)).”
Systemic Risk in the Financial Sector: An Analysis of the Subprime-Mortgage Financial Crisis (2009, background): “125 See Bichsel and Blum (2001, 2005), Blum (2008) .”
The Manipulation of Basel Risk-Weights (2014, methodology): “…under-report the riskiness of their portfolio, and that low levels of capital strengthen the incentives to exploit this opportunity (because they increase banks’ put option value of limited liability ex ante, while simultaneously decreasing the regulatory ability to sanction ex post; Blum, 2008).”