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RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES [PDF]
Mathematical Finance, 2006 In this paper we propose a generalization of the concepts of convex and coherent risk measures to a multiperiod setting, in which payoffs are spread over different dates. To this end, a careful examination of the axiom of translation invariance and the related concept of capital requirement in the one‐period model is performed.
SCANDOLO, GIACOMO, MARCO FRITTELLI
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The Welfare Cost of Bank Capital Requirements [PDF]
SSRN Electronic Journal, 2005 Capital requirements are the cornerstone of modern bank regulation, yet little is known about their welfare cost. This paper measures this cost and finds that it is surprisingly large. I present a simple framework which embeds the role of liquidity creating banks in an otherwise standard general equilibrium growth model.
Skander Van den Heuvel
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STRUKTUR KEPEMILIKAN DAN CHARTER VALUE SEBAGAI PEMODERASI PENGARUH CAPITAL REQUIREMENT PADA PENGAMBILAN RISIKO BANK [PDF]
Jurnal Keuangan dan Perbankan, 2016 Tujuan riset ini adalah memperoleh bukti empiris mengenai pengaruh capital requirement pada pengambilan risiko bank yang dimoderasi oleh struktur kepemilikan dan charter value.
I Gusti Ayu Nyoman Budiasih
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The Real Effects of Bank Capital Requirements [PDF]
SSRN Electronic Journal, 2013 We measure the impact of bank capital requirements on corporate borrowing, investment, and employment using loan-level data. The Basel II regulatory framework makes capital requirements vary across both banks and firms, which allows us to control for time-varying firm-level risk and bank-level credit supply shocks.
David Thesmar +4 more
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The influence of taxes on financial equilibrium [PDF]
Annals of the University of Oradea: Economic Science, 2008 In this paper, the authors present the method of evaluating the effect of taxation on the financial equilibrium of the company.
Batrâncea Ioan, Csegedi Sandor
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Analysis of capital buffers in Serbia [PDF]
Anali Ekonomskog fakulteta u Subotici, 2021 The aim of this paper is to analyse all capital buffers that are currently applied in Serbia. Regulation that transposes Basel III regulatory standards in Serbia was adopted in December 2016.
Martin Vesna
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Systemic Capital Requirements [PDF]
SSRN Electronic Journal, 2011 The credit risk that an individual bank poses to the rest of the financial system depends on its size, the type of exposures it has to the real economy, and its obligations to other institutions. This paper describes a system-wide risk management approach to calibrating individual banks’ capital requirements that takes into account these factors and ...
Lewis Webber, Matthew Willison
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Financing agribusiness: Insurance coverage as protection against credit risk of warehouse receipt collateral [PDF]
Ekonomika Poljoprivrede (1979), 2017 Financing agribusiness by warehouse receipts allows the agricultural producers to obtain working capital on the basis of agricultural products stored in licensed warehouses, as collateral.
Jovičić Daliborka +2 more
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Operational Risk framework and Standardised Measurement Approach (SMA) [PDF]
Risk Management Magazine, 2023 On December 2017, the Basel Committee published the “Basel III: Finalising post-crisis reforms” (also known as Basel IV) that introduces the Standardised Measurement Approach (SMA) to define the Pillar I operational risk capital requirement that is ...
Paolo Fabris +2 more
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Capital requirements with defaultable securities [PDF]
Insurance: Mathematics and Economics, 2014 We study capital requirements for bounded financial positions defined as the minimum amount of capital to invest in a chosen eligible asset targeting a pre-specified acceptability test. We allow for general acceptance sets and general eligible assets, including defaultable bonds.
Cosimo Munari +4 more
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