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Portfolio Selection von Kreditinstituten und makro- vs. mikroprudentielle Eigenkapitalanforderung der Bankenaufsicht
Börner, Michael - 2016
Die Regulierung von Finanzinstituten erfuhr in den letzten Jahren einen grundlegenden Paradigmenwechsel. Hierbei wurde … die Idee einer makroprudentiellen Bankenregulierung neu aufgegriffen. Makroprudentiell meint, dass im Gegensatz zum … mikroprudentiellen Pendant nicht die individuellen Risiken einzelner Finanzinstitute Gegenstand der Regulierung sind. Stattdessen wird …
Persistent link: https://www.econbiz.de/10011560128
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Risk-weighted capital requirements and portfolio rebalancing
Juelsrud, Ragnar Enger; Wold, Ella Getz - In: Journal of financial intermediation 41 (2020), pp. 1-12
Persistent link: https://www.econbiz.de/10012651606
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Bank Capital and New Regulatory Requirements for Risks in Trading Portfolios
inanoglu, hulusi - 2020
This article examines the impact of the new supervisory standards of Basel 2.5 and Basel III for bank trading portfolios with regards to the additional capital requirements developed to mitigate liquidity risk and credit risk. Using the incremental risk charge (IRC), the authors estimate risk...
Persistent link: https://www.econbiz.de/10012830908
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Value-at-risk capital requirement regulation, risk taking and asset allocation : a mean–variance analysis
Kaplanski, Guy; Levy, Haim - In: The European journal of finance 21 (2015) 1/3, pp. 215-241
Persistent link: https://www.econbiz.de/10010519956
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Analysis of granularity adjustment for regulatory capital
Krali, Mario; Gurov, Andrey - In: Journal of central banking theory and practice 8 (2019) 3, pp. 111-132
The lack of portfolio granularity in terms of exposure has been shown to have important implications for the amount of a financial institution's economic capital. Based on a numerical simulation model, we provide concrete examples of how granularity affects capital levels. We achieve this by...
Persistent link: https://www.econbiz.de/10012101497
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Diversification, protection of liability holders and regulatory arbitrage
Koch Medina, Pablo; Munari, Cosimo-Andrea; Ṥikić, Mario - In: Mathematics and financial economics 11 (2017) 1, pp. 63-83
Persistent link: https://www.econbiz.de/10011900516
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An assessment of the Fundamental Review of the Trading Book : the capital requirement impact on a stylised financial portfolio
Pederzoli, Chiara; Torricelli, Costanza - In: International journal of banking, accounting and … 12 (2021) 4, pp. 389-403
Persistent link: https://www.econbiz.de/10012694431
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Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis
Huang, Xin; Zhou, Hao; Zhu, Haibin - In: Journal of financial stability 8 (2012) 3, pp. 193-205
Persistent link: https://www.econbiz.de/10009655810
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Prudential filters, portfolio composition at fair value and capital ratios in European banks
Argimón, Isabel; Dietsch, Michel; Estrada, Ángel - In: Journal of financial stability 39 (2018), pp. 187-208
Persistent link: https://www.econbiz.de/10012159766