Nos derniers articles

4 résultats pour « basel3 »

Risk Aggregation, Tail Risk, Correlation: Capital Allocation Efficiency and Regulator...

14 févr. 2023 Autre, insurance, regulation, banks, compliance, capitalrequirements, modelisation, basel3, solvency2, ssa, sa

"... model uncertainty is a vital component of the current challenges in risk measurement, and therefore the regulator should design risk measures encouraging well-understood prudent decisions over (less understood) risky ones. From this perspective robust regulation should be a desirable goal. To achieve such an objective, simple – but not simpler – rules are needed."

The Effects of the Financial Crisis and Basel III on Banks’ Risk Disclosure: A Textual Analysis

12 sept. 2022 Autre, banks, basel3, modelling, financialreports, israel, lda

"Our findings, based on LDA topic modeling and term frequency, indicate that already at the time of the crisis Israeli banks had shifted the focus of their reports from market and operational risks to credit and liquidity risks. The introduction of Basel III amplified this trend..."

The Next Decade of EU Macroprudential Policy

17 juin 2022 Autre, regulation, banks, eu, capitalrequirements, ecb, macroprudential, basel3, financialregulation, esrb, procyclality

"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."

Liquidity Coverage at Risk

27 mai 2022 Autre, banks, liquidityrisk, basel3

"Building on the Liquidity Coverage Ratio created under the Basel III regulatory agreement, this paper introduces the notion of Liquidity Coverage at Risk (LCRisk), which is the probability that a bank becomes insolvent in the next 30-days. LCRisk has a closed-form expression and it can be computed using information contained in the bank’s balance sheet."

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