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pour « capitalrequirements »
"Our results confirm that the publication of capital requirements can have a disciplinary effect since banks publishing their requirements tend to have more robust capital ratios, which improves market discipline and financial stability."
"... some operational risk managers are working more closely with their human resources partners to develop a more cohesive approach to people risk management. In the context of current reforms to the capital requirements for operational risk"
"We find that banks manage regulatory capital to exceed the threshold and thus to pay lower deposit insurance fees and to have access brokered deposits and financial activities. To reach the threshold, banks use accounting discretion over accruals and real activities, increase equity, and change risk-weighted assets."
"Our results suggest that a stronger preference for confidential reporting is associated with significantly lower trading volume, return volatility, and absolute returns around banks’ earnings announcements."
"This paper presents an overview of key proposals formulated by the European Systemic Risk Board (ESRB), the European Banking Authority (EBA) and the European Central Bank (ECB) in the context of the review of the macroprudential policy framework of the European Union (EU), aimed at improving its operation and efficiency over the medium term."
"... capital requirements can promote growth by mitigating the risk of financial crises, possibly by encouraging... prudent lending. However, financial development and financial openness tend to mitigate the growth benefits of these policies, because of increased scope for (domestic and cross-border) regulatory arbitrage and, in the case of financial openness, greater opportunities to borrow abroad."
"Using variation across insurers within the same country, and across countries for the same insurance group, we show that market risk insurance via guaranteed return products is more prevalent in countries with more lax capital requirements. Moreover, we show that the interest rate exposure of insurance companies increased as interest rates declined in recent years, and this effect is more pronounced for companies with a larger share of guaranteed return products. "
"...we argue that... the median shortfall—that is, the median of the tail loss distribution—is a better option than the expected shortfall for setting the Basel Accords capital requirements due to statistical and economic considerations such as capturing tail risk, robustness, elicitability, backtesting, and surplus invariance."
" In quantifying the solvency capital requirement gradient for cyber risk measurement according to Solvency II, a dangerous paradox emerges: an insurance company can be ranked as solvent according to Pillar 1 without adequately evaluating the operational solvency capital requirements under Pillar 2. "
"The empirical evidence suggests that a distribution based on a single copula is not flexible enough, and thus we model the dependence structure by means of vine copulas. We show that the approach based on regular vines improves the fit. Moreover, even though losses corresponding to different event types are found to be dependent, the assumption of perfect positive dependence is not supported by our analysis. "