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Measuring bank capital requirements through Dynamic Factor analysis [PDF]
In this paper, using industry sector stock returns as proxies of firm asset values, we obtain bank capital requirements (through the cycle). This is achieved by Montecarlo simulation of a bank loan portfolio loss density.
Andrea Cipollini, Giuseppe Missaglia
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Equity Solvency Capital Requirements
Geneva Papers on Risk and Insurance: Issues and Practice, 2018 Solvency II has one standard equity solvency capital requirement for type 1 or developed market stocks (39 per cent) and one for type 2 or emerging market stocks (49 per cent). As such, differences in financial economic risk of stock portfolios within developed or emerging markets do not influence solvency requirements.
Blitz, D +3 more
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Countercyclical capital regulation: should bank regulators use rules or discretion? [PDF]
One of the key features of the U.S. economy’s slow recovery from the 2007-09 recession has been abnormally low bank lending to households and corporate businesses.
Michal Kowalik
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An EVT Approach to calculating Risk Capital Requirements [PDF]
This paper investigates the frequency of extreme events for three LIFFE futures contracts for the calculation of minimum capital risk requirements (MCRRs).
Andrew D. Clare +2 more
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Bank capital regulation with and without state-contingent penalties [PDF]
A moral hazard model with exogenous bank franchise value is used to analyze bank capital regulation. Banks choose their capital structure as well as the riskiness and mean of their portfolio.
David A. Marshall, Edward S. Prescott
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"'Enforced Indebtedness' and Capital Adequacy Requirements" [PDF]
The capital adequacy requirements for banks, enshrined in international banking regulations, are based on a fallacy of composition--namely, the notion that an individual firm can choose the structure of its financial liabilities without affecting the ...
Jan Toporowski
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Bank capital requirements for market risk: the internal models approach [PDF]
The increases prominence of trading activities at many large banking companies has highlighted bank exposure to market risk-the risk of loss from adverse movements in financial market rates and prices.
Beverly Hirtle, Darryll Hendricks
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Capital requirements for banks
, 2023 The Capital Requirements Regulation requires banks to maintain sufficient capital buffers to cover unexpected losses and maintain their solvency during times of crisis. As a rule, the amount of required capital depends on the risk associated with the assets held by a particular bank.
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