Risk and risk-based capital of U.S. bank holding companies

Thomas Hogan () and Neil Meredith ()

Journal of Regulatory Economics, 2016, vol. 49, issue 1, 86-112

Abstract: This paper analyzes banks’ capital and risk-based capital (RBC) ratios as predictors of risk. Using quarterly data on U.S. bank holding companies (BHCs) from 1997 through 2010, we regress the capital and RBC ratios against six balance-sheet and market-based indicators of risk. Although the capital and RBC ratios are statistically significant predictors of BHCs’ levels of risk, we find the capital ratio is a statistically significantly better predictor of risk than the RBC ratio. This difference is strongest since the recent financial crisis beginning in 2007. Copyright Springer Science+Business Media New York 2016

Keywords: Bank; Capital; Risk-based capital; Risk; Regulation; Federal Reserve; G21; G28; G32 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:kap:regeco:v:49:y:2016:i:1:p:86-112

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DOI: 10.1007/s11149-015-9289-8

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