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DO NOISY FAIR VALUES OF DERIVATIVES DISTORT BANK CAPITAL ADEQUACY RATIOS?

Travis L. Jones et al.

Global Journal of Accounting and Finance2022https://doi.org/10.47177/gjaf.06.01.2022.028article
ABDC C
Weight
0.26

What the paper says

This study examines how noise in the reported fair market values of derivatives owned by banks affects bank capital adequacy ratios. Monte Carlo simulation is used to generate new balance sheet data to identify noise and subsequently determine its impact on the capital ratios. Noise in fair market values is found to significantly impact the probability of a type I error with regards to the Tier 1 Leverage ratio at the well capitalized benchmark. Banks who suffered from a type I error during the 2008 financial crisis would have been required to pay higher FDIC insurance premiums, get approval of all brokered deposits, and would have faced challenges in obtaining approval for acquisitions.

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https://doi.org/https://doi.org/10.47177/gjaf.06.01.2022.028

Or copy a formatted citation

@article{travis2022,
  title        = {{DO NOISY FAIR VALUES OF DERIVATIVES DISTORT BANK CAPITAL ADEQUACY RATIOS?}},
  author       = {Travis L. Jones et al.},
  journal      = {Global Journal of Accounting and Finance},
  year         = {2022},
  doi          = {https://doi.org/https://doi.org/10.47177/gjaf.06.01.2022.028},
}

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Evidence weight

0.26

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.00 × 0.4 = 0.00
M · momentum0.20 × 0.15 = 0.03
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.