Modelling bank leverage and financial fragility under the new minimum leverage ratio of Basel III regulation
Olivier Bruno
- Fonction : Auteur
- PersonId : 8057
- IdHAL : olivier-bruno
- IdRef : 170617084
André Cartapanis
- Fonction : Auteur
Eric Nasica
- Fonction : Auteur
- PersonId : 747952
- IdHAL : eric-nasica
Résumé
We analyse the determinants of banks’ balance sheet and leverage ratio dynamics, and its role in increasing financial fragility. Our results are twofold. First, we show there exists a value of bank leverage minimising financial fragility. Second, this value depends on the overall business climate and the expected value of the collateral provided by firms. Based on our findings, we argue that an adjustable leverage ratio restriction dependent on economic conditions would be preferable to the fixed ratio included in the new Basel III regulation.
Domaines
Economies et financesFormat du dépôt | Notice |
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Type de dépôt | Article dans une revue |
Titre |
en
Modelling bank leverage and financial fragility under the new minimum leverage ratio of Basel III regulation
|
Résumé |
en
We analyse the determinants of banks’ balance sheet and leverage ratio dynamics, and its role in increasing financial fragility. Our results are twofold. First, we show there exists a value of bank leverage minimising financial fragility. Second, this value depends on the overall business climate and the expected value of the collateral provided by firms. Based on our findings, we argue that an adjustable leverage ratio restriction dependent on economic conditions would be preferable to the fixed ratio included in the new Basel III regulation.
|
Auteur(s) |
Olivier Bruno
1
, André Cartapanis
, Eric Nasica
1, 2, 3
1
COMUE UCA -
COMUE Université Côte d'Azur (2015-2019)
( 523042 )
- Parc Valrose, 28, avenue Valrose 06108 Nice Cedex 2
- France
2
UNS -
Université Nice Sophia Antipolis (1965 - 2019)
( 117617 )
- Parc Valrose, 06100 Nice
- France
3
GREDEG -
Groupe de Recherche en Droit, Economie et Gestion
( 185786 )
- GREDEG - Bâtiment 2 - Campus Azur du CNRS - 250 rue Albert Einstein - CS 10269 - F
06905 SOPHIA ANTIPOLIS Cedex
- France
|
Volume |
38
|
Titre de la collection |
Finance 2017/3
|
Langue du document |
Anglais
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Date de production/écriture |
2018-08-01
|
Nom de la revue |
|
Vulgarisation |
Non
|
Comité de lecture |
Oui
|
Audience |
Internationale
|
Date de publication |
2018-08-01
|
Date de publication électronique |
2018-08-01
|
Numéro |
3
|
URL éditeur |
http://www.affi.asso.fr/6-revue-finance.htm
|
Page/Identifiant |
45-84
|
Mots-clés (JEL) |
|
Domaine(s) |
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Collaboration/Projet |
|
Mots-clés |
en
prudential regulation, financial fragility, leverage ratio, Bank leverage
|
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