Work detail

Regulation of Bank Capital and Behavior of Banks: Assesing the US and the EU-15 region Banks in the 2000-2005 period

Author: Mgr. Milan Matejašák
Year: 2007 - summer
Leaders: doc. PhDr. Petr Teplý Ph.D.
Consultants:
Work type: Finance, Financial Markets and Banking
Masters
Language: Slovak
Pages: 90
Awards and prizes: M.A. with distinction from the Dean of the Faculty of Social Sciences for an excellent state-final examination performance and for an extraordinarily good masters diploma thesis.
Link:
Abstract: In recent years, regulators have increased their focus on the capital adequacy of banking institutions to enhance their stability, hence the stability of the whole financial system. The purpose of this master thesis is to assess and compare how American and European banks adjust their level of capital and portfolio risk under capital regulation, whether and how they react to constraints placed by the regulators. In order to do this, we estimate a modified version of the simultaneous equations model developed by Shrieves and Dahl. This model analyzes adjustments in capital and risk at banks when they approach the minimum regulatory capital level. The results indicate that regulatory requirements have the desired effect on bank behavior. Both American and European banks that are close to minimum requirements increase their capital. In addition, the US banks decrease their portfolio risk taking.
Downloadable: Diploma Thesis of Milan Matejašák

Partners

ČSOB
Deloitte
McKinsey & Company

Sponsors

CRIF