38 résultats
pour « capitalrequirements »
"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. "
"The conducted experiment on calculation of the bank's capital for operational risk with different methods showed non-profitability of the results, which requires further improvement of the processes of changes in the banking regulation system based on the Basel regulations."
"... the effects of regulation are positive on GDP whenever the costs and benefits of regulation are both introduced. However, this result may be associated with a temporary economic slowdown in the transition to Basel III, which can be accommodated by monetary policy."
"In addition to raising capital requirements, it introduced three ratios, two of which set out minimum standards for liquidity and funding risk, i.e. the liquidity coverage ratio and the net stable funding ratio, and one which aims to limit leverage in the banking system, i.e. the leverage ratio... This paper investigates the extent to which the regulatory initiatives might have already had an impact on banks."
"... higher capital ratios incentivize banks to undertake riskier projects."