Year: 2017
Author: Grossmann, David
Credit and Capital Markets – Kredit und Kapital, Vol. 50 (2017), Iss. 4 : pp. 545–573
Abstract
The development of the Basel III leverage ratio does not consider the different risk characteristics of bank business models. All banks have to achieve the same requirements even if a high-risk business model is chosen. For that reason, leverage ratios which are adjusted to the risk-profile of retail, wholesale, and trading banks are developed. Based on Value-at-Risk and Expected Shortfall calculations, the left-hand tail of a net return on non-risk-weighted assets distribution of 120 European banks is analyzed. Retail banks are less risky and can withstand financial distress with a smaller amount of capital.
Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.3790/ccm.50.4.545
Credit and Capital Markets – Kredit und Kapital, Vol. 50 (2017), Iss. 4 : pp. 545–573
Published online: 2017-12
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 29
Keywords: G21 G28 G32 Bank Business Models Bank Capital Requirements Expected Shortfall Leverage Ratio Regulation Value-At-Risk
Author Details
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| Section Title | Page | Action | Price |
|---|---|---|---|
| David Grossmann: Leverage Ratios for Different Bank Business Models | 1 |