EconPapers    
Economics at your fingertips  
 

Bank Capital Buffer and Risk Adjustment Decisions

Terhi Jokipii and Alistair Milne ()

No 2009-09, Working Papers from Swiss National Bank

Abstract: Building an unbalanced panel of United States (US) bank holding company (BHC) and commercial bank balance sheet data from 1986 to 2006, we examine the relationship between short-term capital buffer and portfolio risk adjustments. Our estimations indicate that the relationship over the sample period is a positive two-way relationship. Moreover, we show that the management of such adjustments is dependent on the degree of bank capitalization. Further investigation through time-varying analysis reveals a cyclical pattern in the uncovered relationship: negative after the 1991/1992 crisis, and positive before 1991 and after 1997.

Keywords: Bank capital; Portfolio Risk; Regulation (search for similar items in EconPapers)
JEL-codes: G21 G28 G32 (search for similar items in EconPapers)
Pages: 54 pages
Date: 2009
References: Add references at CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)
https://www.snb.ch/en/publications/research/workin ... orking_paper_2009_09 (text/html)

Related works:
Journal Article: Bank capital buffer and risk adjustment decisions (2011) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:snb:snbwpa:2009-09

Access Statistics for this paper

More papers in Working Papers from Swiss National Bank Contact information at EDIRC.
Bibliographic data for series maintained by Enzo Rossi ().

 
Page updated 2024-02-21
Handle: RePEc:snb:snbwpa:2009-09