This paper suggests a model based on Poisson processes to estimate joint credit losses without the limitations of normality assumptions and non-negative correlation. Idiosyncratic and systematic risks are seen as “shocks” and defaults are driven by a latent variable (loans' lifetimes). The...

On May 11-12, 2011, SUERF, the Belgian Financial Forum, the Brussels Finance Institute and the Centre for European Policy Studies (CEPS) jointly organised the 29th SUERF Colloquium New paradigms in money and finance? The papers included in this SUERF Study are based on contributions to the...

The Financial Sector Reforms Commission (FSLRC) which was set up in 2011 by the Ministry of Finance was mandated to study existing legislation and financial sector regulatory practices in India and to propose improvements. The FSLRC submitted its report in 2013 and four of its members recorded...

The Liikanen Group proposes contingent convertible (CoCo) bonds as a potential mechanism to enhance financial stability in the banking industry. Especially life insurance companies could serve as CoCo bond holders as they are already the largest purchasers of bank bonds in Europe. We develop a...

The Liikanen Group proposes contingent convertible (CoCo) bonds as a potential mechanism to enhance financial stability in the banking industry. Especially life insurance companies could serve as CoCo bond holders as they are already the largest purchasers of bank bonds in Europe. We develop a...

With a sample of twelve US bond indices spanning different maturities, credit ratings and industry sectors, we investigate the impact of new bank capital regulation for trading portfolios introduced by Basel III. Specifically, we estimate the new capital requirements for (a) liquidity risk and...

This study investigates whether banks and insurance corporations perform regulatory arbitrage by buying bonds with inflated credit ratings. We argue that credit rating based capital requirements incentivize banks and insurance corporations to hold more bonds with inflated credit ratings. We...

This paper demonstrates that rating-based capital requirements, through their impact on insurers' investment demand, affect corporate bond prices. Consistent with insurers' low demand for investment-grade (IG) bonds with a rating close to non-investment-grade, these bonds are underpriced....

Prudential regulation of infrastructure investment plays an important role in creating an enabling environment for mobilizing long-term finance from institutional investors, such as insurance companies, and, thus, gives critical support to sustainable development. Infrastructure projects are...

On May 11-12, 2011, SUERF, the Belgian Financial Forum, the Brussels Finance Institute and the Centre for European Policy Studies (CEPS) jointly organised the 29th SUERF Colloquium New paradigms in money and finance? The papers included in this SUERF Study are based on contributions to the...