Impact of Basel Capital Accord on Bank Behaviour, the impact of Basel Risk based capital requirement (accord I) on Bank performance in the Context of a Small Service-Based island Economy
MetadataShow full item record
This paper tests the effect of the Basel Risk Based Capital Requirements (Basel Accord 1) on Mauritian banks' behaviour, using a sample of 9 commercial banks. In the absence of any simultaneity between change in capital ratio and change in credit risk following the application of 3SLS to an extension of the model proposed by Shrieves and Dahl (1992) , the study applies the Arellano-Bond GMM technique to provide unbiased and more efficient estimates by taking into account dynamic framework. The main result emanating from this research reveals that banks' response to the Basel Risk -Based Capital Accord I requirement, is weak in the Mauritian context and under the period of study.
Showing items related by title, author, creator and subject.
Da Veiga, Bernardo; Chan, Felix; McAleer, Michael (2012)The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a ...
It pays to Violate: Model Choice and Critical Value Assumption for Forecasting Value-at-Risk ThresholdsDa Veiga, Bernardo; Chan, Felix; McAleer, M. (2005)The internals models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds which are used to calculate the required capital banks must hold in reserves as a protection ...
Rengasamy, Dhanuskodi (2014)Green banking practices BY DR DHANUSKODI RENGASAMY ON FEBRUARY 11, 2014, TUESDAY AT 2:02 AMOTHER COLUMNS BANKS play a very important role in the economic development of nations. As economic development is a dynamic and ...