Capital Requirements with Different Risky Assets

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dc.date.accessioned 2018-04-18T13:36:43Z
dc.date.available 2018-04-18T13:36:43Z
dc.date.issued 2018-04-18
dc.identifier.uri http://hdl.handle.net/10725/7419 en_US
dc.description.abstract History shows that prohibition diminishes the supply of capital and raises its returns. However, for value-added investors such as private equity investments, regulation potentially reduces capital quality. The regulatory measures introduced in Basel II Capital Framework and in the EU Capital requirements Directive (CRD) are meant to encourage more complete risk measurement and thus risk management, without reducing the competition. Basel III re-emphasizes a leverage ratio sort of rule. We focus on banks investing in buyouts; the main risk from these investments comes from the increased leverage. We use a structural and comprehensive model of the firm’s asset growth to describe buy-out portfolios’ stylized facts. The debt and equity are modeled as contingent claims on the assets. This method is more transparent and requires fewer parameters than other commonly used methods. The leverage ratio restriction balances between excess return of these investments and overall power of the supervisor enforcing the capital requirements; it is used to gauge the incentive of banks to carry the adequate amount of capital and enhances the supervisors’ ability to enforce the rules after the returns are realized. en_US
dc.language.iso en en_US
dc.title Capital Requirements with Different Risky Assets en_US
dc.type Conference Paper / Proceeding en_US
dc.author.school SOB en_US
dc.author.idnumber 199629330 en_US
dc.author.department Department of Finance and Accounting (FINA) en_US
dc.description.embargo N/A en_US
dc.keywords Private Equity en_US
dc.keywords Banks en_US
dc.keywords Capital requirements en_US
dc.keywords Leveraged ratio restriction en_US
dc.keywords Basel III en_US
dc.keywords CRD en_US
dc.identifier.ctation Arayssi, M. (2014). Capital Requirements with Different Risky Assets. en_US
dc.author.email mahmoud.araissi@lau.edu.lb en_US
dc.identifier.tou http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php en_US
dc.identifier.url https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2378855 en_US
dc.orcid.id https://orcid.org/0000-0002-1816-8835 en_US
dc.publication.date 2014 en_US
dc.author.affiliation Lebanese American University en_US

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