Discretionary Decisions in Capital Requirements under Solvency II
#insurers have discretion to determine #solvencyii #capitalrequirements. We find that long-term guarantees measures substantially...
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18 juil. 2023
Climate Change Stress Testing for the Banking System
The paper explores the potential inclusion of #climatechange #risks in the #prudential #regulatoryframework, specifically discussing...
26 juin 2023
Machine Learning and IRB Capital Requirements: Advantages, Risks, and Recommendations
This paper examines the use of #machinelearning methods in the context of #banks' #capitalrequirements, specifically the internal Ratings...
2 mai 2023
Weaknesses of Financial Market Regulation
" The biggest Shortcoming of the recent reforms to the stabilization of the #financialsystem, such as #baseliii and the American...
26 avr. 2023
The uncharted territory of the Bank of England's human rights obligations
This working paper analyzes whether the #boe has a legal obligation to adjust #capitalrequirements for #financialinstitutions in response...
29 mars 2023
Climate Risk and Canadian Banks: Is More Capital Required?
It highlights the increasing #regulatory focus on #climaterisk faced by #canada's #banks, both domestically through the #osfi and...
14 févr. 2023
Risk Aggregation, Tail Risk, Correlation: Capital Allocation Efficiency and Regulator...
"... model uncertainty is a vital component of the current challenges in risk measurement, and therefore the regulator should design risk...
18 janv. 2023
Geopolitical Uncertainty and Banking Risk: International Evidence
"The increased banking risk mainly attributed to reduction in bank capital and escalated fluctuations in bank profitability." LIRE
18 janv. 2023
Do Insurers Use Internal Capital Markets to Manage Regulatory Scrutiny Risk?
"… almost 50 percent of insurers at risk of facing additional regulatory scrutiny due to failing four Insurance Regulatory Information...
5 déc. 2022
The ECB Single Supervisory Mechanism: Effects on Bank Performance and Capital Requirements
"Under the Single Supervisory Mechanism (SSM) introduced in 2014, the European Central Bank directly supervises significant euro area...
14 nov. 2022
Climate Change and the Role of Regulatory Capital: A Stylized Framework for Policy Assessment
"We summarize core features of a capital regime such as expected and unexpected losses, regulatory ratios and risk-weighted assets, and...
21 oct. 2022
Fat Tails and Asymmetric Time Horizons: Dealing With Systemic Climate-Related Uncertainty
"Even pioneering forward-looking stress tests cannot feasibly capture all possible tail risks. We propose supplementing the existing...
11 oct. 2022
Bank Capital, Risk-Taking and Stability: The Relationships Assumed in Capital Regulation?
"We find that bank capital and probability of default PD impact each other, where the total influence of the latter on the former is...
28 sept. 2022
Regulatory Capital and Asset Risk Transfer
"... most modified coinsurance is purchased from reinsurers located in countries with lower regulatory capital requirements and within...
21 sept. 2022
How to Release Capital Requirements During a Pandemic? Evidence from Euro Area Banks
"... requirement releases are more effective for banks with a low capital headroom over requirements and do not trigger additional...
19 sept. 2022
Regulatory Capital and Bank Risk-Resilience Amid the Covid-19 Pandemic:
"... banks with robust pre-crisis regulatory capital ratios are less risky (have a lower insolvency risky) relative to less-capitalised...
29 juil. 2022
Bank capital and risk in the South Eastern European region
" A model is set up which assumes that banks’ decisions regarding capital and risk are made endogenously in a dynamic pattern." LIRE
28 juil. 2022
Bank Capital Adequacy Framework
"This paper considers the question from a non-technical point of view and surveys the regulatory requirements for capital adequacy...
26 juil. 2022
What Drives Bank-Specific Capital Requirements? Evidence from the Ssm
"Drawing on recently disclosed information on the Pillar 2 capital requirements of banks directly supervised by the ECB, we find that...
15 juil. 2022
Stress Tests and Capital Requirement Disclosures: Do They Impact Banks’ Lending and Risk-Taking?
"Our results confirm that the publication of capital requirements can have a disciplinary effect since banks publishing their...
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