Incentives for Effective Risk Management

Jón Daníelsson, Bjørn N. Jørgensen, Casper G. de Vries

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

Abstrakt

Under the new Capital Accord, banks choose between two different types of risk management systems, the standard or the internal rating based approach. The paper considers how a bank's preference for a risk management system is affected by the presence of supervision by bank regulators. The model uses a principal–agent setting between a bank's owner and its risk management. The main conclusion is that previously unregulated institutions can be expected to switch to the lower quality standard approach subsequent to becoming regulated, i.e., the presence of regulation may induce a bank to decrease the quality of its risk management system.
OriginalsprogEngelsk
TidsskriftJournal of Banking & Finance
Vol/bind26
Udgave nummer7
Sider (fra-til)1407-1425
Antal sider19
ISSN0378-4266
DOI
StatusUdgivet - 2002
Udgivet eksterntJa

Emneord

  • Risk management systems
  • Regulation
  • Value-at-Risk
  • Basel-II

Citationsformater