Discussion Paper
What Happens When Regulatory Capital Is Marked to Market?
Abstract: Minimum equity capital requirements are a key part of bank regulation. But there is little agreement about the right way to measure regulatory capital. One of the key debates is the extent to which capital ratios should be based on current market values rather than historical ?accrual? values of assets and liabilities. In a new research paper, we investigate the effects of a recent regulatory change that ties regulatory capital directly to the market value of the securities portfolio for some banks.
Keywords: held to maturity; bank capital; regulation; securities; available for sale; risk; fair value accounting;
JEL Classification: G21;
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Bibliographic Information
Provider: Federal Reserve Bank of New York
Part of Series: Liberty Street Economics
Publication Date: 2018-10-11
Number: 20181011