This paper examines capital adequacy regulation in Germany. After a short overview about financial regulation in Germany in general, the paper focuses on the most important development in the area of capital adequacy regulation from the 1930s up to the financial crisis. Two main trends are...

This paper deals with Russian financial markets and financial institutions in 2010. The author focuses on the Russian stock market, bond market. The author analyzes key risks in financial markets, ruble devaluation risks and repo transactions risks

In 2016, Russia's stock market, in terms of its rates of return, set a world record among all the other stock markets. Over that year, the RTS Index gained 52.3%, and the MICEX Index –26.8% (Fig. 1). The faster growth rate of the RTS Index, which reflects the price of shares in US dollar...

We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. We construct a model that can be estimated from high-frequency CDS data. This captures risks from privately held institutions and cooperative banks, extending approaches that rely on...

We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. We construct a model that can be estimated from high-frequency CDS data. This captures risks from publicly traded banks, privately held institutions, and coöperative banks, extending...

This paper tests whether poorly capitalized banks with troubled loan books are more likely to miss their bailout dividends. Privately held banks with weaker core capital ratios, more charged off loans, more allowances for loan losses, and more non-performing loans are more likely to miss their...

We propose a methodology for measuring the market-implied capital of banks by subtracting from the market value of equity (market capitalization) a credit-spread-based correction for the value of shareholders' default option. We show that without such a correction, the estimated impact of a...

Since the 2008 Financial Crisis, stress tests based on extreme-yet-plausible scenarios have become a preferred method of assessing risk for large financial institutions, yet scenario choice has largely been ad-hoc. We propose a principled methodology to choose scenarios by minimizing the...