Bank Asset and Liability Management Under the Risk-Based Capital Regulation

• Main Authors: Chen, Hsiao-Ping, 陳曉萍
• Other Authors: Lin, Gin-Chung
• Format: Others
• Language: zh-TW
• Published: 1997
• Online Access: http://ndltd.ncl.edu.tw/handle/10321313440996527280

碩士 === 銘傳大學 === 金融研究所 === 85 === 　　This paper applies a single-period mean-variance model to evaluate the effectiveness of defferent capital standards, and discuss their impact on bank asset and liability management. 　　From the risk-based capital ratio, we know that bank can increase the numerator or decrease the denominator to meet the regulation. They also can substitute high risk-weight asset to low risk-weight asset to meet the regulation. 　　In the paper, we can find that banks in Taiwan with larger capital surplus in 1988, slow down their capital ratio in 1992, and banks that failed the new regulation in 1988 increase their capital quickly to satisfy the new regulation in 1992. 　　We also find that bank managers don''t substitute high risk-weight asset to low risk-weight asset to meet the regulation. It means that the banks in Taiwan don''t have portfolio inter-exchange and credit crunch.