This paper examines the impact of capital-based regulation on the insurer's risk and capital adjustments in the US property-liability insurance industry. We conduct the three-stage least squares (3SLS) procedure to estimate a simultaneous equations model. The key finding is that undercapitalized...

The relationship between macroeconomic developments and bank capital buffer and portfolio risk adjustments is relevant to assess the efficacy of newly created countercyclical buffer requirements. Using the U.S. bank holding company data over the period 1992:Q1–2011:Q3, we find a negative...

For the two-sample censored data problem, Pepe and Fleming [Pepe, M.S., Fleming, T.R., 1989. Weighted Kaplan-Meier statistics: A class of distance tests for censored survival data. Biometrics 45, 497-507] introduced the weighted Kaplan-Meier (WKM) statistics. From these statistics we define...