Systemic banks, capital composition and CoCo bonds issuance: The effects on bank risk
This paper shows that systemic banks are prone to increase their regulatory capital ratio through a decline in risk-weighted assets density and an intense use of lower level capital. The market access of systemic banks, and the fact that they were singled out for higher capital requirements seem to...
| Autores: | , |
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| Tipo de documento: | relatório científico |
| Data de publicação: | 2017 |
| País: | España |
| Recursos: | Universidad Complutense de Madrid (UCM) |
| Repositório: | Docta Complutense |
| Idioma: | inglês |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/22900 |
| Acesso em linha: | https://hdl.handle.net/20.500.14352/22900 |
| Access Level: | Acceso aberto |
| Palavra-chave: | G12 G21 G28 Contingent capital Banking regulation Risk-taking incentives Asset substitution Systemic risk Bancos y cajas |
| Resumo: | This paper shows that systemic banks are prone to increase their regulatory capital ratio through a decline in risk-weighted assets density and an intense use of lower level capital. The market access of systemic banks, and the fact that they were singled out for higher capital requirements seem to have biased them towards lower level capital, consistent with the theory that asymmetric information drives capital decisions. These effects are particularly strong for institutions that had a rather low level of capitalization at the start of the period and for those that exhibited a strong use of Additional Tier I capital before the regulatory changes. Strict capital composition requirements for firms with lower buffers would be an improvement. |
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