" The biggest Shortcoming of the recent reforms to the stabilization of the #financialsystem, such as #baseliii and the American #doddfrankact Act, is that they increase the #capitalrequirements rather than the causes of the increased #risk. It would generally be better to forbid risky and complex #financialproducts than to further increase #regulation complexity."
"This paper examines the major causes of #svbcollapse collapse in March 2023 from a #regulatory and #riskmanagement perspective... Our analysis reveals major weaknesses in SVB’s risk management practice but also underlines weaknesses in the US regulatory regime [compared to #baseliii] reaching from reporting exemptions for small banks in the domain of liquidity and interest rate risks, non-sufficiently sensitive monitoring ratios, and misalignments between #accounting and risk management principles hindering effective oversight."
"This paper considers some univariate and multivariate #operationalrisk#models , in which the #loss severities are modeled by some weakly tail dependent and heavy-tailed positive random variables, and the loss frequency processes are some general counting processes. … The methodology is based on #capitalapproximation within the #baseliii framework (the so-called loss distribution approach)."
This paper analyzes the relationship between the #baseliii countercyclical #capitalbuffer (#CCyB) and the #liquidity coverage #ratio (#lcr) requirement. The study shows that banks face a risk-liquidity trade-off with the LCR, affecting the CCyB required level to dampen cyclicality in #bank actual #capitalratios.
"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."
"This paper... reviews the different channels of transmission of prudential policy highlighted in the literature and... provides a quantitative assessment of the impact of Basel III reforms using "off-the-shelf" DSGE models. It shows that the effects of regulation are positive on GDP whenever the costs and benefits of regulation are both introduced."