The influence of the Basel II and III frameworks on financial market stability




Professorship/Faculty: Economic Policy  
Author(s): Hermsen, Oliver
Alternative Title: Der Einfluss von Basel II und III auf die Stabilität von Finanzmärkten
Publisher Information: Bamberg : opus
Year of publication: 2012
Page Count: 13, 22, 33, 39, 40
Illustrations: Diagramme
Supervisor(s): Westerhoff, Frank H.  ; Milaković, Mishael  
Source/Other editions: Teilw. zuerst ersch. in: Quantitative Finance, Vol. 10, No. 10, December 2010, pp. 1215-1224; European Physical Journal B, Vol. 73, No. 1 (2010), pp. 29-40.
Language(s): English
Remark: 
Bamberg, Univ., kummulative Diss., 2012
Licence: German Act on Copyright 
URN: urn:nbn:de:bvb:473-opus4-3509
Abstract: 
In the cumulative doctoral thesis, four papers are presented that deal with the impact of the Basel II and Basel III frameworks on financial market stability. With an empirical analysis and two heterogeneous agent models, we analyze the impact of such aspects as the choice of the VaR model within the framework, the influence of backtesting exceptions and the new proposed changes in the Basel III framework. As a general result, we determine that too strict regulation may lead to the opposite desired effect. The Basel III framework in particular constitutes a severe intervention in the financial market, but responsible regulation may lead here to stabilization. Regulations aiming at a direct target, such as the choice of the Value-at-Risk model or the calculation of the level of regulatory capital for market risk, prove to be more effective than general rules, such as a general increase in the minimum capital requirements for all risk types of the frameworks.

In der kumulativen Dissertation werden vier Paper dargestellt, die den Einfluss der Basel II und III Richtlinien auf die Stabilität von Finanzmärkten mit Hilfe einer empirischen Analyse und heterogenen Agentenmodellen untersuchen.
SWD Keywords: Basler Eigenkapitalsvereinbarung |2010| ; Bank ; Kreditmarkt ; Regulierung ; Modell ; Online-Publikation
Keywords: Basel II/III, regulatorisches Eigenkapital, Bankenregulierung, (stressed) Value-at-Risk, heterogene Agentenmodelle, Basel II/III, level of regulatory capital, bank regulation, (stressed) Value-at-Risk, heterogeneous agent model, Basel II/III, regulatorisches Eigenkapital, Bankenregulierung, (stressed) Value-at-Risk, heterogene Agentenmodelle, level of regulatory capital, bank regulation, heterogeneous agent model
DDC Classification: 330 Economics  
RVK Classification: QK 622   
Document Type: Doctoralthesis
URI: https://fis.uni-bamberg.de/handle/uniba/371
metadata.ubg.intern.opusdatepublished: 4. June 2012
Awards: Promotionspreis der Otto-Friedrich-Universität Bamberg 

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