| Popis: |
We develop a model of credit-portfolio optimization and study the impact of risk-based capital regulation on banks' asset allocations. From the model, it is apparent that, when a bank’s capital is constrained by regulation, regulatory cost (risk weightings) alters the risk and value calculations for the bank’s assets and it generates a number of predictions regarding banks' portfolio allocation. Empirical examination of U.S. banks from 2002 to 2014 supports the predictions applicable to the dataset. |
