Template-type: ReDIF-Paper 1.0
Author-Name: Dr. Terhi Jokipii
Author-Name-First: Terhi
Author-Name-Last: Jokipii
Author-Person:  pjo301
Author-Name: Alistair Milne
Author-Name-First: Alistair
Author-Name-Last: Milne
Title: Bank Capital Buffer and Risk Adjustment Decisions
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.
Length: 54 pages
Creation-Date: 2009
Contact-Email: forschung@snb.ch
File-URL: https://www.snb.ch/en/publications/research/working-papers/2009/working_paper_2009_09
File-Format: text/html
Number: 2009-09
Classification-JEL: G21, G28, G32
Keywords: Bank capital, Portfolio Risk, Regulation
Handle: RePEc:snb:snbwpa:2009-09