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Regulatory Capital Management: Fair Value Measurement and Regulatory Capital Ratios

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  2. Economics, Finance, Business & Management
  3. Credit and Capital Markets – Kredit und Kapital
  4. Vol. 52, Issue 3
  5. pp. 375–421

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Krauß, F. Regulatory Capital Management: Fair Value Measurement and Regulatory Capital Ratios. Credit and Capital Markets – Kredit und Kapital, 52(3), 375-421. https://doi.org/10.3790/ccm.52.3.375
Krauß, Felix "Regulatory Capital Management: Fair Value Measurement and Regulatory Capital Ratios" Credit and Capital Markets – Kredit und Kapital 52.3, 2019, 375-421. https://doi.org/10.3790/ccm.52.3.375
Krauß, Felix (2019): Regulatory Capital Management: Fair Value Measurement and Regulatory Capital Ratios, in: Credit and Capital Markets – Kredit und Kapital, vol. 52, iss. 3, 375-421, [online] https://doi.org/10.3790/ccm.52.3.375
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Regulatory Capital Management: Fair Value Measurement and Regulatory Capital Ratios

Krauß, Felix

Credit and Capital Markets – Kredit und Kapital, Vol. 52 (2019), Iss. 3 : pp. 375–421

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Duncker & Humblot
DOI
https://doi.org/10.3790/ccm.52.3.375
Language
English
Pages
47
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Author Details

Felix Krauß, Universität des Saarlandes, Lehrstuhl für Betriebswirtschaftslehre, insbesondere Rechnungswesen und Finanzwirtschaft, Campus B4 1, 66123 Saarbrücken

Cited By

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    Knobloch, Alois Paul

    Krauß, Felix

    Credit and Capital Markets – Kredit und Kapital, Vol. 54 (2021), Iss. 2 P.265

    https://doi.org/10.3790/ccm.54.2.265 [Citations: 0]

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Abstract

The calculation of the regulatory capital ratios according to the Capital Requirements Regulation (CRR) is based on the IFRS consolidated financial statements. Therefore, banks are able to influence their regulatory capital ratios through discretionary powers when measuring with fair values according to IFRS 13. This paper analyzes the effects that discretionary fair value changes have on the regulatory capital ratios. Furthermore, the impact of the prudent valuation according to article 105 CRR on the regulatory capital ratios is examined. While the results depend on a multitude of factors and vary from case to case, there are situations in which the same fair value change of an identical financial asset can have opposing effects on certain regulatory capital ratios depending on bank specific factors like its regulatory capitalization or its tax rate. As a result, decreasing fair values can in some circumstances lead to higher regulatory capital ratios and thus, indicate a greater solvency. In order to identify possible conflicts of interest, the effects of fair value changes on the comprehensive income are also included in the analysis because the comprehensive income serves as an important target figure for banks in addition to the regulatory capital ratios.

Table of Contents

Section Title Page Action Price
Felix Krauß: Regulatory Capital Management: Fair Value Measurement and Regulatory Capital Ratios 1
Abstract 1
I. Introduction 1
II. Review of Empirical Literature 4
III. Key Assumptions 6
IV. Financial Assets with Deferred Tax Assets 1
1. Comprehensive Income and Prudent Valuation According to Art. 105 CRR 1
2. Credit Risk 1
a) Standardized Approach 1
b) Internal Ratings Based Approach 1
3. Regulatory Capital Ratios 1
a) Standardized Approach 1
b) Internal Ratings Based Approach with the Allocation of the Comparison Amount to Common Equity Tier 1 Capital 1
c) Internal Ratings Based Approach with the Allocation of the Comparison Amount to Tier 2 Capital 2
V. Financial Assets with Deferred Tax Liabilities 2
1. Comprehensive Income, Prudent Valuation According to Art. 105 CRR, and Credit Risk 2
2. Regulatory Capital Ratios 2
a) Standardized Approach 2
b) Internal Ratings Based Approach with the Allocation of the Comparison Amount to Common Equity Tier 1 Capital 2
c) Internal Ratings Based Approach with the Allocation of the Comparison Amount to Tier 2 Capital 3
VI. Discussion 3
1. Implications of the Results 3
2. Limitations of the Model and Restrictions of the Underlying Assumptions 3
VII. Summary 3
References 3
Appendix 4
Appendix 1 4
Appendix 2 4
Appendix 3 4
Appendix 4 4

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