최적의 사전예약방식에 의한 자본금규제에 대한 연구 : A Study on The Optimal Pre-commitment Approach on Risk-based Capital Requirements
- 주제(KDC) 320.000
- 설명문(일반) 이 연구는 2001년도 서강대학교 교내 연구비 지원에 의하여 이루어졌음
- 발행기관 서강대학교 경제학연구원
- 발행년도 2001
- 총서유형 Journal
- 본문언어 한국어
초록/요약
This paper analyzes the characteristics of the incentive compatible menu consisted of risk-based capital requirements and penalties under private information, which makes banks choose the right capital level corresponding to the true market risk of the trading accounts. This menu is offered by the regulator for the banks to choose, among the items of the menu, one level of required capital level(i.e. to pre-commit) in order to cover the loss from that bank's trading accounts, and the bank knows that if the realized loss is greater than the pre-commited capital level, he is subject to corresponding penalties. This paper derives the optimal menu of required capital level and corresponding penalties and shows that the optimal menu can restore the optimal solution under perfect information.
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