This paper reviews academic studies of bank capital regulation in an effort to evaluate the
intellectual foundation for the imposition of the Basel I and Basel II systems of risk-based …

This paper develops a comprehensive new framework to measure and analyze sovereign
risk. Contingent claims analysis is used to construct a marked-to-market balance sheet for …

In this study, the mean–variance framework is employed to analyze the impact of the Basel
value-at-risk (VaR) market risk regulation on the institution's optimal investment policy, the …

Financial reforms and capital adequacy are probably the most critical issues for the banking
industry in the world. This study examines the effectiveness of financial reforms carried out in …

Capital allocation rules are derived that maximize leverage while maintaining a target
solvency rate for credit portfolios where risk is driven by a single common factor and …

Abstract Value-at-Risk (VaR) has become a standard measure for risk management and
regulation. In the case of a two-parameter distribution, a common method among …

The new Basel Accord (known as Basel II) attempts to introduce more risk-sensitive capital
requirements. We propose a multiperiod deposit insurance pricing model that incorporates …

In this study, we highlight the importance of labor force and labor productivity as two key
determinants of nations' sovereign risks, and in particular for emerging markets. These …

We study a dynamic mean-variance portfolio selection problem subject to possible limit of
market risk. Three measures of market risk are considered: value-at-risk, expected shortfall …

I evaluate a bank's incentives to implement a risk-sensitive regulatory capital rule. The
decision making is analyzed within a real options framework where optimal policies are …