The Status of People Risk Management in UK Banks
"... some operational risk managers are working more closely with their human resources partners to develop a more cohesive approach to...
top of page
Rechercher
23 juin 2022
Regulatory Capital Management to Exceed Thresholds
"We find that banks manage regulatory capital to exceed the threshold and thus to pay lower deposit insurance fees and to have access...
22 juin 2022
What You Don’t Know Won’t Hurt You
"Our results suggest that a stronger preference for confidential reporting is associated with significantly lower trading volume, return...
17 juin 2022
The Next Decade of EU Macroprudential Policy
"This paper presents an overview of key proposals formulated by the European Systemic Risk Board (ESRB), the European Banking Authority...
16 mai 2022
Capital Requirements and Growth in an Open Economy
"... capital requirements can promote growth by mitigating the risk of financial crises, possibly by encouraging... prudent lending....
16 mai 2022
Inconsistent Capital Regulation
"Using variation across insurers within the same country, and across countries for the same insurance group, we show that market risk...
25 mars 2022
Risk Measures: Robustness, Elicitability, and Backtesting
"...we argue that... the median shortfall—that is, the median of the tail loss distribution—is a better option than the expected...
24 févr. 2022
Vine Copula Modelling Dependence Among Cyber Risks: A Dangerous Regulatory Paradox
" In quantifying the solvency capital requirement gradient for cyber risk measurement according to Solvency II, a dangerous paradox...
24 févr. 2022
Modeling Multivariate Operational Losses Via Copula-Based Distributions with G-and-H Marginals
"The empirical evidence suggests that a distribution based on a single copula is not flexible enough, and thus we model the dependence...
14 févr. 2022
Risk-oriented approach to determining bank’s capital size according to requirements of basel
"The conducted experiment on calculation of the bank's capital for operational risk with different methods showed non-profitability of...
9 févr. 2022
Assessing the Impact of Basel III: Evidence from Structural Macroeconomic Models
"... the effects of regulation are positive on GDP whenever the costs and benefits of regulation are both introduced. However, this...
1 févr. 2022
Basel III and Recourse to Eurosystem Monetary Policy Operations
"In addition to raising capital requirements, it introduced three ratios, two of which set out minimum standards for liquidity and...
19 janv. 2022
Voluntary Equity, Project Risk, and Capital Requirements
"... higher capital ratios incentivize banks to undertake riskier projects." LIRE
bottom of page