Risk weights, risk-based capital and deposit insurance
The thrift risk-based capital regulation assigns weights to various asset categories according to their perceived credit risk. The risk-based capital requirement is 8% of these risk-weighted assets. Little empirical work exists to support either the 8% capital level or the weights included in the re...
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| Veröffentlicht in: | Journal of banking & finance 1991-09, Vol.15 (4), p.875-893 |
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| container_title | Journal of banking & finance |
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| creator | Bradley, Michael G. Wambeke, Carol A. Whidbee, David A. |
| description | The thrift risk-based capital regulation assigns weights to various asset categories according to their perceived credit risk. The risk-based capital requirement is 8% of these risk-weighted assets. Little empirical work exists to support either the 8% capital level or the weights included in the regulation.
We employ the asset categories set forth in the regulation to calculate statistical estimates of the capital level and the risk weights that would have been required for the deposit insurance system for thrifts to have been actuarially fair over the 1985–1988 period. Our results indicate that the 8% capital requirement adopted by federal regulators would have been too little to cover insurance costs over the 1985–1988 period and that the risk weights assigned to some asset categories would have been too high relative to the risk weight assigned ‘standard’ assets. |
| doi_str_mv | 10.1016/0378-4266(91)90104-T |
| format | Article |
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We employ the asset categories set forth in the regulation to calculate statistical estimates of the capital level and the risk weights that would have been required for the deposit insurance system for thrifts to have been actuarially fair over the 1985–1988 period. Our results indicate that the 8% capital requirement adopted by federal regulators would have been too little to cover insurance costs over the 1985–1988 period and that the risk weights assigned to some asset categories would have been too high relative to the risk weight assigned ‘standard’ assets.</description><identifier>ISSN: 0378-4266</identifier><identifier>EISSN: 1872-6372</identifier><identifier>DOI: 10.1016/0378-4266(91)90104-T</identifier><identifier>CODEN: JBFIDO</identifier><language>eng</language><publisher>Amsterdam: Elsevier B.V</publisher><subject>Bank failures ; Capital ; Capital requirements ; Comparative studies ; Deposit insurance ; Economic models ; Regression analysis ; Regulatory reform ; Risk ; Savings & loan associations</subject><ispartof>Journal of banking & finance, 1991-09, Vol.15 (4), p.875-893</ispartof><rights>1991</rights><rights>Copyright Elsevier Sequoia S.A. Sep 1991</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c491t-3f3b24bdb5b297589ce5e623e8b230484e412c3361a7e1fd33cf8d03607af8103</citedby><cites>FETCH-LOGICAL-c491t-3f3b24bdb5b297589ce5e623e8b230484e412c3361a7e1fd33cf8d03607af8103</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://dx.doi.org/10.1016/0378-4266(91)90104-T$$EHTML$$P50$$Gelsevier$$H</linktohtml><link.rule.ids>314,780,784,3550,4008,27869,27924,27925,45995</link.rule.ids><backlink>$$Uhttp://econpapers.repec.org/article/eeejbfina/v_3a15_3ay_3a1991_3ai_3a4-5_3ap_3a875-893.htm$$DView record in RePEc$$Hfree_for_read</backlink></links><search><creatorcontrib>Bradley, Michael G.</creatorcontrib><creatorcontrib>Wambeke, Carol A.</creatorcontrib><creatorcontrib>Whidbee, David A.</creatorcontrib><title>Risk weights, risk-based capital and deposit insurance</title><title>Journal of banking & finance</title><description>The thrift risk-based capital regulation assigns weights to various asset categories according to their perceived credit risk. The risk-based capital requirement is 8% of these risk-weighted assets. Little empirical work exists to support either the 8% capital level or the weights included in the regulation.
We employ the asset categories set forth in the regulation to calculate statistical estimates of the capital level and the risk weights that would have been required for the deposit insurance system for thrifts to have been actuarially fair over the 1985–1988 period. Our results indicate that the 8% capital requirement adopted by federal regulators would have been too little to cover insurance costs over the 1985–1988 period and that the risk weights assigned to some asset categories would have been too high relative to the risk weight assigned ‘standard’ assets.</description><subject>Bank failures</subject><subject>Capital</subject><subject>Capital requirements</subject><subject>Comparative studies</subject><subject>Deposit insurance</subject><subject>Economic models</subject><subject>Regression analysis</subject><subject>Regulatory reform</subject><subject>Risk</subject><subject>Savings & loan associations</subject><issn>0378-4266</issn><issn>1872-6372</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>1991</creationdate><recordtype>article</recordtype><sourceid>X2L</sourceid><sourceid>K30</sourceid><recordid>eNp9kF1rFDEUhoMouFb_gRdDe6GCU3OSTD5uBClqhQWhrNeHTOaMzXZ3ZkxmK_33ZtzSC8EGTr543sPhYew18HPgoD9waWythNZvHbxzHLiqN0_YCqwRtZZGPGWrB-Q5e5HzlpdlQa6Yvor5pvpN8ef1nN9Xqbzq1mfqquCnOPtd5Yeu6mgac5yrOORD8kOgl-xZ73eZXt2fJ-zHl8-bi8t6_f3rt4tP6zooB3Mte9kK1XZt0wpnGusCNaSFJNsKyZVVpEAEKTV4Q9B3UobedlxqbnxvgcsT9ubYd0rjrwPlGfcxB9rt_EDjIaOVTijthC3k6T_kdjykoQyH4JQ1ujGiQGf_hYQTYB3nUCh1pEIac07U45Ti3qc7BI6LcFxs4mITHeBf4bgpsfUxlmii8JAhom3bx8HjLUoPTdnulosrUeljKYXL51TKmgatk3g970u7j8d2VPzeRkqYQ6TivouJwozdGB-f5w94nZ4m</recordid><startdate>19910901</startdate><enddate>19910901</enddate><creator>Bradley, Michael G.</creator><creator>Wambeke, Carol A.</creator><creator>Whidbee, David A.</creator><general>Elsevier B.V</general><general>Elsevier</general><general>North-Holland Pub. 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The risk-based capital requirement is 8% of these risk-weighted assets. Little empirical work exists to support either the 8% capital level or the weights included in the regulation.
We employ the asset categories set forth in the regulation to calculate statistical estimates of the capital level and the risk weights that would have been required for the deposit insurance system for thrifts to have been actuarially fair over the 1985–1988 period. Our results indicate that the 8% capital requirement adopted by federal regulators would have been too little to cover insurance costs over the 1985–1988 period and that the risk weights assigned to some asset categories would have been too high relative to the risk weight assigned ‘standard’ assets.</abstract><cop>Amsterdam</cop><pub>Elsevier B.V</pub><doi>10.1016/0378-4266(91)90104-T</doi><tpages>19</tpages></addata></record> |
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| language | eng |
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| source | ScienceDirect; RePEc; Periodicals Index Online |
| subjects | Bank failures Capital Capital requirements Comparative studies Deposit insurance Economic models Regression analysis Regulatory reform Risk Savings & loan associations |
| title | Risk weights, risk-based capital and deposit insurance |
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