requirements, using financial data of the Swiss systemically important bank UBS. It can be shown that the leverage ratio …

This paper discusses liquidity regulation when short-term funding enables credit growth but generates negative systemic … incentives for risk creation.When banks differ in credit opportunities, a Pigovian tax on short-term funding is efficient in … containing risk and preserving credit quality, while quantity-based fundingratios are distorsionary. Liquidity buffers are either …

be used to compute bank-specific capital surcharges, as we describe in the paper. In addition to this cross …

exogenously failing a bank and investigate the spread of this failure within the banking system. We find the obvious result that … the size of the bank initially failing is the dominant factor whether contagion occurs, but for the extent of its spread …

model-based combined requirements range between 6.3% and 27.2% of credit RWA depending on the bank. A comparison with the … adequacy related to credit risk. For the first time, it combines calibration of microprudential capital requirements and … macroprudential buffers in a unified, coherent framework. Its core element is an advanced credit portfolio model - SystemicCreditRisk …