Bank Closure Policies and Capital Requirements: a Note

Elettra Agliardi

Working Papers from Dipartimento Scienze Economiche, Universita' di Bologna

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.

Date: 2007-09
New Economics Papers: this item is included in nep-ban
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Persistent link: https://EconPapers.repec.org/RePEc:bol:bodewp:603

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