Bank capital requirements for securitized loan pools

McAllister, Patrick H.; Mingo, John J.

doi:10.1016/0378-4266(96)00003-9

Cited by 16 publications

(3 citation statements)

References 2 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…20 When first introduced, the premium differ ential between the lowest and highest risk-categories was 8 basis points, with an average differential of about 5 basis points. 21 The solution depicted in figure lb assumes a premium differential of 5 ba sis points (11" = 0.0005), where the calibration is otherwise identical to that in figure lao A comparison of figures la and lb indicates that the primary effect of an insurance premium differential is to aggravate the moral hazard problem 19In some cases, in the absence of a premium ~Ilrcharge, the range of maximal risk-taking disappears entirely (and instead, a range of minimal risk-taking occurs) when b 2 is reduced.…”

Section: Varying the Insurance Premiummentioning

confidence: 99%

The Impact of Capital-Based Regulation on Bank Risk-Taking

Calem

Rob

1999

Journal of Financial Intermediation

334

184

View full text Add to dashboard Cite

Section: Varying the Insurance Premiummentioning

confidence: 99%

The Impact of Capital-Based Regulation on Bank Risk-Taking

Calem

Rob

1999

Journal of Financial Intermediation

334

184

View full text Add to dashboard Cite

“…McAllister and Mingo (1996) argue that tens of thousands of individual borrower loss 13 experience observations covering many years are required for confident direct measurement of default correlations.…”

Section: Portfolio Granularity Is Importantmentioning

confidence: 99%

Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements

Carey¹

2000

FEDS

View full text Add to dashboard Cite

Now in prospect is a major revision of international bank capital regulations that would embody recent advances in credit risk measurement and management. Previous regulations have been simpler in structure, with a primary goal of getting capital requirements right on average, and thus have largely ignored the difference between average and marginal. This paper presents evidence that explicit treatment in new regulations of several important dimensions of credit risk is necessary to limit banks' incentives to engage in capital arbitrage activities. Such activities, if unchecked, may lead to an increase in bank failure rates over time.

show abstract

“…McAllister and Mingo [10] designed a general decision rule for determining appropriate capital requirements for loan securitization pools based on setting the expected value of credit losses in excess of allocated capital equal to that of losses beyond required capital on the original loan pool.…”

Section: Introductionmentioning

confidence: 99%

Expected return given uncertain recovery rate and information asymmetry

Lin

2005

Journal of Information and Optimization Sciences

View full text Add to dashboard Cite

This study discusses the expected rate of return with an uncertain recovery rate in both asymmetric and full information economies. Potential project default risk reflects the uncertain recovery rate, which influences the net profit of financial institutions, depositors and securitization investors. The expected rate of return is derived for a particular probability of information asymmetry. This work also considers the determinants of minimum expected recovery rate in case of non-bankruptcy.

show abstract

Bank capital requirements for securitized loan pools

Cited by 16 publications

References 2 publications

The Impact of Capital-Based Regulation on Bank Risk-Taking

The Impact of Capital-Based Regulation on Bank Risk-Taking

Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements

Expected return given uncertain recovery rate and information asymmetry

Contact Info

Product

Resources

About