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Evaluating Risk-Based Capital Regulation

Hogan, Thomas L. - 2017

2001 through 2011 and find the standard capital ratio to be a significantly better predictor of bank performance than the …

Persistent link: https://www.econbiz.de/10012974653

A Poisonous (?) Mix : Bail-Out of Credit Institutions Combined with Bail-In of Their Liabilities Under the BRRD – The Use of ‘Government Financial Stabilisation Tools’ (GFSTs)...

Gortsos, Christos - 2016

Articles 37(10) and 56-58 of Directive 2014/59/EU of the European Parliament and of the Council, of 15 May 2014, “establishing a framework for the recovery and resolution of credit institutions and investment firms (...)” (hereinafter the ‘BRRD') govern the provision of ‘extraordinary...

Persistent link: https://www.econbiz.de/10012978464

Forward-Looking and Incentive-Compatible Operational Risk Capital Framework

Migueis, Marco - 2020

This paper proposes an alternative framework to set banksâ€™ operational risk capital, which allows for forward-looking assessments and limits gaming opportunities by relying on an incentive-compatible mechanism. This approach would improve upon the vulnerability to gaming of the AMA and...

Persistent link: https://www.econbiz.de/10012853833

Regulatory Arbitrage in the Use of Insurance in the New Standardized Approach for Operational Risk Capital

Migueis, Marco - 2019

Basel's new standardized approach (SA) for operational risk capital may allow for regulatory arbitrage through the use of insurance. Under the SA, banks will have incentive to insure recurring losses, which can meaningfully reduce capital requirements even as it does not meaningfully decrease...

Persistent link: https://www.econbiz.de/10012859534

Incremental Risk Charge Methodology

Xiao, Tim - 2014

The incremental risk charge (IRC) is a new regulatory requirement from the Basel Committee in response to the recent financial crisis. Notably few models for IRC have been developed in the literature. This paper proposes a methodology consisting of two Monte Carlo simulations. The first Monte...

Persistent link: https://www.econbiz.de/10013055237

Operational Risk in Bank Governance and Control : How to Save Capital Requirement Through a Risk Transfer Strategy. Evidences from a Simulated Case Study

Scannella, Enzo - 2015

provides evidences that an implementation of an operational risk transfer strategy reduces bank capital requirement and capital …

Persistent link: https://www.econbiz.de/10013018049

The Basel III Debt Overhang. The Special Case of the Net Stable Funding Ratio

Ceron, Jorge - 2015

This paper investigates the potential aggravation of the Debt Overhang problem in banking stemming from the introduction of the new Basel III liquidity ratio: the Net Stable Funding Ratio (NSFR). By replacing short for long term debt (or terming out long term debt) on the back of the NSFR, banks...

Persistent link: https://www.econbiz.de/10013025494

Optimal Volatility, Covenants and Cost of Capital Under Basel III Bail-In

Hori, Kenjiro - 2015

value of the bank and its volatility by using an indifference curve model of the bank's choice of optimal risk. While the … first-best optimal risk maximises the value of the bank, the shareholders select suboptimally high risks under bail … consequences of the DAPR (Deviation from the Absolute Priority Rule) the bondholders are forced to closely monitor the bank …

Persistent link: https://www.econbiz.de/10013025495

Do Strict Capital Requirements Raise the Cost of Capital? Bank Regulation, Capital Structure, and the Low Risk Anomaly

Baker, Malcolm P. - 2015

Traditional capital structure theory predicts that reducing banks' leverage reduces the risk and cost of equity but does not change the weighted average cost of capital, and thus the rates for borrowers. We confirm that the equity of better-capitalized banks has lower beta and idiosyncratic...

Persistent link: https://www.econbiz.de/10013026425

Adapting Basel's A-IRB Models for IFRS 9 Purposes

Miu, Peter - 2016

how we may use A-IRB models in the estimation of expected credit losses for IFRS 9 purposes. We highlight the necessary …. Moreover, in discussing the issues related to the estimation of the expected credit loss for IFRS 9, we highlight the …

Persistent link: https://www.econbiz.de/10012985733