Bank Closure Policies and Capital Requirements: a Note

Agliardi, Elettra (2007) Bank Closure Policies and Capital Requirements: a Note. Bologna: Dipartimento di Scienze economiche DSE, p. 17. DOI 10.6092/unibo/amsacta/4671. In: Quaderni - Working Paper DSE (603). ISSN 2282-6483.
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Abstract

A bank closure policy problem is analysed in a mathematical model within a Black-Scholes framework where an appropriate notion of capital adequacy is introduced. The value of the deposit insurance liabilities and bank equity are derived. The effects of capital requirements on risk-shifting and bank reorganization are discussed, with a comparison of the impact of the Basel I and II Accords on banks’ behaviour.

Abstract
Document type
Monograph (Working Paper)
Creators
CreatorsAffiliationORCID
Agliardi, Elettra
Keywords
bank closure policies, Black-Scholes framework, deposit insurance
Subjects
ISSN
2282-6483
DOI
Deposit date
26 Feb 2016 08:50
Last modified
26 Feb 2016 08:50
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