Similar Search Results

Assessing the Impact of Prompt Corrective Action on Bank Capital and Risk

Aggarwal, Raj; Jacques, Kevin T. - London School of Economics and Political Science - 1998

[...]This paper examines the impact that the PCAstandards had on bank portfolios following the passage ofFDICIA in 1991 … (1997) to study the impactof risk-based capital, is used to examine how PCA simultaneouslyinfluenced bank capital ratios and … capitaland portfolio risk is explicitly recognized, and as such, theimpact of possible changes in bank capital ratios on risk ina …

Persistent link: https://www.econbiz.de/10005870068

Methods for Evaluating Value-at-Risk Estimates

López, José A. - Federal Reserve Bank <New York, NY>; London School of … - 1998

In August 1996, the U.S. bank regulatory agenciesadopted the market risk amendment (MRA) to the 1988Basle Capital …

Persistent link: https://www.econbiz.de/10005870077

Pilot Exercise—Pre-Commitment Approach to Market Risk

Considine, Jill - New York Clearinghouse Association; London School of … - 1998

Set forth below in Part I is a discussion of the backgroundof the Pilot; in Part II, conclusions arising out of the conductof the Pilot; and in Part III, the Participating Institutions’views as to the next steps. The Pilot left the ParticipatingInstitutions with three core conclusions:• that...

Persistent link: https://www.econbiz.de/10005870078

Building a Coherent Risk Measurement and Capital Optimisation Model for Financial Firms

Shepheard-Walwyn, Tim; Litterman, Robert - UBS AG <Zürich; Goldman, Sachs & Co. <New York, NY>; … - 1998

[...]In this paper, we therefore consider how riskmeasures, based on internal models of this type, might beintegrated into a firm’s own methodology for allocatingrisk capital to its individual business units and for determiningits optimal capital structure. We also consider theimplications of...

Persistent link: https://www.econbiz.de/10005870082

Formulas or Supervision? Remarks on the Future of Regulatory Capital

Estrella, Arturo - Federal Reserve Bank <New York, NY>; London School of … - 1998

[...]This paper focuses on the relative emphasis thatthe structure of regulatory capital places on formulas andon supervision. The two are not viewed as mutually exclusive,but as elements to which capital policy implicitlyassigns relative weights. We will see that in U.S. regulatorypractice,...

Persistent link: https://www.econbiz.de/10005870086

Capital Regulation: The Road Ahead

de Swaan, Tom - ABN AMRO Holding <Amsterdam>; London School of … - 1998

It is a great pleasure for me to be here and to participate inthe discussion of the future of capital adequacy regulation.I would like to compliment the organizers of this conferenceon the programme they have set up, covering manyrelevant topics, and the range of experts they have beenable to...

Persistent link: https://www.econbiz.de/10005870093

Risk Management: One Institution’s Experience

Labrecque, Thomas G. - Chase Manhattan Corporation; London School of Economics … - 1998

I am very pleased to be part of this forward-looking conferenceon developments in capital regulation. Because thepurpose of capital is to support risk, I decided to approachthis session from the viewpoint of someone leading aninstitution that depends, for its success or failure, on howwell it...

Persistent link: https://www.econbiz.de/10005870096

A Prolegomenon to Future Capital Requirements

Estrella, Arturo - London School of Economics and Political Science - 1995

This article does not address specific capital proposalsnor does it suggest specific new requirements. Theframework it provides, however, has implications for possiblefuture refinements in the supervisory approach to capitalrequirements.[...]

Persistent link: https://www.econbiz.de/10005870353

Capital from an Insurance Company Perspective

Lewis, Robert E. - American International Group <New York, NY>; London … - 1998

This morning, I would like to give a few practical commentson capital adequacy from an insurance companyperspective. In doing so, I will present two views on capitaladequacy and capital allocation in the insurance industry.The first view is the regulatory perspective, that is, themotivations...

Persistent link: https://www.econbiz.de/10005870084

Adjusting to Capital Account Liberalization

Aoki, Kosuke; Benigno, Gianluca; Kiyotaki, Nobuhiro - London School of Economics and Political Science - 2009

We study theoretically how the adjustment to liberalization of internationalnancial transaction depends upon the degree of domestic nancial development.Using a model with domestic and international borrowing constraints, we showthat, when the domestic nancial system is underdeveloped,...

Persistent link: https://www.econbiz.de/10005870377