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Measuring Concentration Risk - A Partial Portfolio Approach

Grippa, Pierpaolo - 2016

Concentration risk is an important feature of many banking sectors, especially in emerging and small economies. Under the Basel Framework, Pillar 1 capital requirements for credit risk do not cover concentration risk, and those calculated under the Internal Ratings Based (IRB) approach...

Persistent link: https://www.econbiz.de/10012977807

Assessing the Cost of Financial Regulation

Elliott, Douglas - 2012

This study assesses the overall impact on credit of the financial regulatory reforms in Europe, Japan, and the United States. Long-term cost estimates are provided for Basel III capital and liquidity requirements, derivatives reforms, and higher taxes and fees. Overall, average lending rates in...

Persistent link: https://www.econbiz.de/10013099136

Balance Sheet Network Analysis of Too-Connected-To-Fail Risk in Global and Domestic Banking Systems

Chan-Lau, Jorge A. - 2010

The 2008/9 financial crisis highlighted the importance of evaluating vulnerabilities owing to interconnectedness, or Too-Connected-to-Fail risk, among financial institutions for country monitoring, financial surveillance, investment analysis and risk management purposes. This paper illustrates...

Persistent link: https://www.econbiz.de/10013147114

Bank Debt in Europe 'Are Funding Models Broken'

Le Leslé, Vanessa - 2013

The crisis in Europe has underscored the vulnerability of European bank funding models compared to international peers …. This paper studies the drivers behind this fragility and examines the future of bank funding, primarily wholesale, in … possible policy options and bank actions to enhance European bank funding models' robustness …

Persistent link: https://www.econbiz.de/10013085997

The Net Stable Funding Ratio : Impact and Issues for Consideration

Gobat, Jeanne - 2014

As part of Basel III reforms, the NSFR is a new prudential liquidity rule aimed at limiting excess maturity transformation risk in the banking sector and promoting funding stability. The revised package has been issued for public consultation with a plan of making the rule binding in 2018. This...

Persistent link: https://www.econbiz.de/10013050676

Banks' Adjustment to Basel III Reform : A Bank-Level Perspective for Emerging Europe

Andrle, Michal - 2017

The paper seeks to identify strategies of commercial banks in response to higher capital requirements of Basel III reform and its phase-in. It focuses on a sample of nine EU emerging market countries and picks up 5 largest banks in each country assessing their response. The paper finds that all...

Persistent link: https://www.econbiz.de/10012961471

Back to the Future : The Nature of Regulatory Capital Requirements

Chami, Ralph - 2018

This paper compares the current regulatory capital requirements under the Dodd-Frank Act (DFA) and the 10-percent leverage ratio, as proposed by the U.S. Treasury and the U.S. House of Representatives' Financial CHOICE Act (FCA). We find that the majority of U.S. banks would not qualify for an...

Persistent link: https://www.econbiz.de/10012927469

Centrality-Based Capital Allocations

Alter, Adrian - 2015

interbank lending. The rules, which combine individual bank characteristics and interconnectivity measures of interbank lending …

Persistent link: https://www.econbiz.de/10013028668

Islamic Finance, Consumer Protection, and Financial Stability

Lukonga, Inutu - 2015

Consumer protection and financial literacy are essential pillars of a well functioning and stable financial system. As the global financial crisis demonstrated, inadequate attention to consumer protection and financial literacy can lead to financial instability. Though Shari'ah principles...

Persistent link: https://www.econbiz.de/10013021443

Banking and Trading

Ratnovski, Lev - 2012

We study the effects of a bank's engagement in trading. Traditional banking is relationship-based: not scalable, long …-based: scalable, shortterm, capital constrained, and with the ability to generate risk from concentrated positions. When a bank … inefficiencies. A bank may allocate too much capital to trading ex-post, compromising the incentives to build relationships ex …

Persistent link: https://www.econbiz.de/10013098572

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