Mandatory Financial Disclosures and the Banking Sector: A Principal-Agent Framework (Palgrave Macmillan Studies in Banking and Financial Institutions)

Preface
Acknowledgements
Contents
Abbreviations
List of Tables
1 Introduction
	References
2 The Enigma of Mandatory Disclosures
	Introduction
	Voluntary Disclosures
	Mandatory Disclosures
	Conclusion
	References
3 Mandatory Disclosures as a Principal-Agent Paradigm
	An Introduction to Contract Theoretic Approach to Regulation
	The Regulatory Process
	The Principal-Agent (PA) Framework
	Formal Development of the Model
	Information Cost
	Conclusion
	References
4 Information Asymmetry and Banking Regulations
	Introduction
	Approach
	Basel 1
		Objectives and Requirements
		Key Performance Variables: Credit Risk
		Additional Information Requirements
	Market Risk Amendment (MRA)
		Objectives and Requirements
		Key Performance Variable—Market Risk
		Additional Information Requirements
	Basel 2
		Objectives and Requirements
		Key Performance Variables—Credit Risk, Market Risk
		Additional Information Requirements—Basel 2
	Basel 3
		Objectives and Requirements
		Key Performance Variables—Liquidity Risk
		Additional Information Requirements
	Choice of Key Performance Variable
		Asset-Based Regulatory Contract Design
		Capital/Liability-Based Regulatory Contract Design
	Conclusion
	Appendix 1 Specified Risk Weights for Interest Rate Risk as Specified in the Market Risk Amendment (MRA)
	Appendix 2 Specified Risk Weights for General Market Risk Under the Maturity Method as Specified in the Market Risk Amendment (MRA)
	Appendix 3 List of Eligible Collateral for Inclusion in the Computation of RWA’s as Specified in Basel 2
	Appendix 4 Guidance on Determination of LGD Parameter for Use in the Advanced Approach as Specified in Basel 2
	Appendix 5 Details of Validation Procedures for Internal Models for Use in the Advanced Approach as Specified in Basel 2
	Appendix 6 an Illustration Showing a Summary LCR Computation Providing Details of the Classes and the Run-Off Rates as Provided in Basel 3
	Appendix 7 Summary of the RSF Factors by Class for Computation of NSFR as Provided in Basel 3
	References
5 Information Content and Pillar 3 Disclosures
	Introduction
	Pillar 3 Disclosures
	Existing Studies
	Methodology: Event Study
	Data
	Choice of Banks and Event Date
	Event Horizon
	Calculating Raw Bond Returns
	Standardisation of Returns
	Calculation of Benchmark Returns
	Computation of Abnormal Returns
	Descriptive Statistics
	Statistical Tests Employed
	Results
	Absence of Expected Results: Possible Explanations
	Conclusion
	Appendix
		Appendix 1: List of Banks
		Appendix 2A: Descriptive Statistics of Abnormal Standardised Bond Returns EH1
		Appendix 2B: Descriptive Statistics of Abnormal Standardised Bond Returns EH2
		Appendix 2C: Descriptive Statistics of Abnormal Standardised Bond Returns EH3
		Appendix 2D: Descriptive Statistics of Abnormal Standardised Bond Returns EH4
		Appendix 3A: Test Results by Event Horizon—EH1
		Appendix 3B: Test Results by Event Horizon—EH2
		Appendix 3C: Test Results by Event Horizon—EH3
		Appendix 3D: Test Results by Event Horizon—EH4
	References
6 Conclusion
	Policy Implications
	Future Research
	References
References
Index