Features
- Cover Type: Hard Cover with 336 pages
- Published by: Princeton University Press January 3, 2008
- Written in: English
- ISBN 10 Number: 0691131465
- ISBN 13 Number: 978-0691131467
-
Book Dimensions:
9.5 x 6.5 x 1.2 inches
- Weighs: 1.2 pounds
Review
Among economists' explanations are moral hazard, ill-judged capital adequacy rules and the incompetence of supervisors. Jean-Charles Rochet, a leading authority on banking, argues the real problem lies with politicians who too often insist on rescuing insolvent banks for short-term reasons of their own. [W]hatever the verdict on the policy proposals, the book makes interesting reading in current circumstances.
(
John Plender Financial Times )
The book provides an great introduction to the theory of banking regulation. . . . I can recommend the book to anyone interested in a formal, academic approach to banking regulation. The concise conclusions of the individual articles provide valuable ideas for changes in banking regulation.
(
Bernd Brommundt Financial Markets and Portfolio Management )
Reader Reviews
This is an interesting,but incomplete,set of essays written by Jean-Charles Rochet and a number of co-authors which are based on the standard views of analyzing the banking industry's interest rate risk problems -asymmetric(incomplete or partial) information,adverse selection,moral hazard,and income gap(duration gap),value at risk models that seek to maintain bank capitalization levels in the face of banking industry attempts to minimize interest rate risk.Thus,"..improperly chosen risk weights induce banks to select inefficient portfolios and to undertake regulatory arbitrage activities that might paradoxically result in increased risk"(p.6).The alleged " solution " appears on p.250-"...adoption of "market-based" risk weights,i.e.,weights proportional to the systematic risks of these assets measured by their market betas..."(p.250).THe problem is that all of the essays are written on the misbelief that the normal probability distribution can be used to model risk.There is no attempt to deal with the equally important problem of uncertainty,in the sense of Keynes,Ellsberg and Knight,or the " wild " risk that Mandelbrot has shown is of paramount importance.The VAR models all assume normality,as do the beta results calculated from the CAPM .
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