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Solvency regulation : an assessment of Basel III for banks and of planned Solvency III for insurers
Zweifel, Peter - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-22
Basel III, regulating the solvency of banks, is to be fully implemented by 2027 while Solvency III directed at insurers is being prepared. In view of past experience, it will be closely modelled after Basel III. This raises two questions. (i) Will Basel III and Solvency III be more successful...
Persistent link: https://www.econbiz.de/10012588178
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Modelling systemically important banks vis-à-vis the basel prudential guidelines
Salim, M. Zulkifli; Daly, Kevin James - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-20
Our paper investigates Indonesia's systemically important banks (SIBs) using theoretical approaches-CoVaR, marginal expected shortfall (MES), and SRISK-to compare with the Basel guidelines as benchmark. We use Indonesian banks' market and supervisory data over the 2008-2019 period. The research...
Persistent link: https://www.econbiz.de/10012622472
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Central counterparties and liquidity provision in cash markets
Richter, Thomas - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-26
This paper investigates increased liquidity provision by market makers resulting from their ability to reduce balance …-by-trade data from sovereign bond markets, we show that liquidity provision by CCP members decreased to a lesser extent following …
Persistent link: https://www.econbiz.de/10012798918
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The impact of the Basel accord on Greek banks : a stress test study
Leventides, John; Donatou, Anna - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 181-197
In this paper, we study the impact of extreme events on the loan portfolios of the Greek banking system. These portfolios are grouped into three separate groups based on the size of the bank to which they belong, in particular, large, medium, and small size. A series of extreme scenarios was...
Persistent link: https://www.econbiz.de/10011545145
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The good and bad news about the new liquidity rules of Basel III in Islamic banking of Malaysia
Shazleena Mohamed Zainudin; Zaleha Abdul Rasid; Rosmini Omar - In: Journal of risk and financial management : JRFM 12 (2019) 3/120, pp. 1-15
liquidity coverage ratio (LCR), vitalized the Islamic banking sector in emerging economies? Vice versa, what is the Islamic …, and industry players should utilize a unique framework for Islamic banks when strategizing liquidity risk management. …
Persistent link: https://www.econbiz.de/10012029642
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Stochastic optimization system for bank reverse stress testing
Montesi, Giuseppe; Papiro, Giovanni; Fazzini, Massimiliano - In: Journal of risk and financial management : JRFM 13 (2020) 8/174, pp. 1-43
as liquidity-solvency interlinkage and modeling of Pillar 2 risks including interest rate risk, sovereign risk, and …
Persistent link: https://www.econbiz.de/10012322078
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Stress testing and systemic risk measures using elliptical conditional multivariate probabilities
Aste, Tomaso - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-17
Systemic risk, in a complex system with several interrelated variables, such as a financial market, is quantifiable from the multivariate probability distribution describing the reciprocal influence between the system's variables. The effect of stress on the system is reflected by the change in...
Persistent link: https://www.econbiz.de/10012534607
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Solvency risk and corporate performance : a case study on European retailers
Horobet, Alexandra; Curea, Ştefania-Cristina; … - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-34
.g., liquidity, assets efficiency, and profitability). Its contribution resides in identifying the drivers behind solvency risk in a … to equalize the tax advantages of debt versus equity financing. Solvency risk accompanied by liquidity risk is a mark of … and liquidity, but is fading over time. The volatility of liquidity levels is an important predictor of solvency risk …
Persistent link: https://www.econbiz.de/10012795567
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A review of the regulatory impact analysis of risk-based capital and related liquidity rules
Hogan, Thomas L. - In: Journal of risk and financial management : JRFM 14 (2021) 1/24, pp. 1-29
RBC rules and related rules on bank liquidity. We find that nine of the 27 rules include RIAs. Five of the RIAs claim the …
Persistent link: https://www.econbiz.de/10012417012
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Impact of liquidity coverage ratio on performance of select Indian banks
Sidhu, Anureet Virk; Rastogi, Shailesh; Gupte, Rajani; … - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-17
The post-crisis liquidity framework improves banking stability by imposing stricter liquidity requirements. However … liquidity coverage ratio (LCR) on the profitability and non-performing assets (NPAs) of Indian banks using annual data from 2010 …-reaching implications for policymakers. Indian policymakers/regulators need to understand the strategies used by banks to meet liquidity …
Persistent link: https://www.econbiz.de/10013273491