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.
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