Year: 2007
Author: Bikker, Jacob A., Metzemakers, Paul A. J.
Credit and Capital Markets – Kredit und Kapital, Vol. 40 (2007), Iss. 2 : pp. 225–264
Abstract
This article investigates the determinants of commercial banks' own internal capital targets and potential sensitivity of these levels to the business cycle. Worldwide results make clear that banks' own risk is only slightly dependent on the business cycle. Banks tend to hold substantial capital buffers on top of minimum requirements, reflecting that they hold capital for other reasons than strictly meeting the capital requirements. These results suggest that actual capital levels may not become substantially more procyclical under the new risk-sensitive Basel II regime. However, a number of banks, especially smaller ones, combine a relatively risky portfolio with limited buffer capital. A more risk-sensitive capital regulation regime could force these banks to obtain higher capital levels, which would make them more procyclical. (JEL E32, G21, G28, G31)
Journal Article Details
Publisher Name: Global Science Press
Language: Multiple languages
DOI: https://doi.org/10.3790/ccm.40.2.225
Credit and Capital Markets – Kredit und Kapital, Vol. 40 (2007), Iss. 2 : pp. 225–264
Published online: 2007-04
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 40
Author Details
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The Cyclical Behaviour of Bank Capital Buffers: An Empirical Evidence for MENA Banking Systems
Saadaoui, Zied
Review of Middle East Economics and Finance, Vol. 11 (2015), Iss. 2
https://doi.org/10.1515/rmeef-2013-0067 [Citations: 4]
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