Climate Risk and Bank Capital Structure
"This paper lends support to the importance of the #climatechange-related #risks into #prudential #supervision to protect the...
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Rechercher
- 26 juil. 2023
Discretionary Decisions in Capital Requirements under Solvency II
#insurers have discretion to determine #solvencyii #capitalrequirements. We find that long-term guarantees measures substantially...
- 18 juil. 2023
Climate Change Stress Testing for the Banking System
The paper explores the potential inclusion of #climatechange #risks in the #prudential #regulatoryframework, specifically discussing...
- 26 juin 2023
Machine Learning and IRB Capital Requirements: Advantages, Risks, and Recommendations
This paper examines the use of #machinelearning methods in the context of #banks' #capitalrequirements, specifically the internal Ratings...
- 2 mai 2023
Weaknesses of Financial Market Regulation
" The biggest Shortcoming of the recent reforms to the stabilization of the #financialsystem, such as #baseliii and the American...
- 26 avr. 2023
The uncharted territory of the Bank of England's human rights obligations
This working paper analyzes whether the #boe has a legal obligation to adjust #capitalrequirements for #financialinstitutions in response...
- 29 mars 2023
Climate Risk and Canadian Banks: Is More Capital Required?
It highlights the increasing #regulatory focus on #climaterisk faced by #canada's #banks, both domestically through the #osfi and...
- 16 mars 2023
An axiomatic approach to default risk and model uncertainty in rating systems
"We discuss different properties and representations of default #riskmeasures via monetary risk measures, families of related #tailrisk...
- 14 oct. 2021
Are Bank Capital Requirements Optimally Set? Evidence from Researchers’ Views
#bank #capitalrequirements #regulation
- 28 sept. 2021
Risk-Based Capital and Leverage Ratios Adjustments by Banks: Experience from Canada and the U.S.
#baseliii #compliance #leverageratio #capitalrequirements #regulation
- 27 sept. 2021
Determining the Banking Solvency Risk in Times of COVID-19 through Gram-Charlier Expansions
#solvencyrisk #bankingindustry #covid19economy #quantile #riskmetrics #capitalrequirements
- 7 sept. 2021
A New Methodology for Modelling Operational Risk using Skew t Copula and Bayesian Inference
#oprisk #operationalrisk #montecarlo #capitalrequirements #bayesian #riskmanagement #riskanalysis #markovchain
- 30 août 2021
Measuring and Stress-Testing Market-Implied Bank Capital
#banking #capitalrequirements #systemicrisk #stresstest #riskmanagement
- 24 août 2021
Synthetic Data: A New Regulatory Tool
#syntheticdata #bankregulation #confidencelevels #riskmeasures #machinelearning #capitalrequirements
- 23 août 2021
Required Capital for Long-run Risks
#lowcarbon #compliance #longrun #ESG #pensionfunds #capitalrequirements #riskmanagement
- 11 août 2021
The Limits of Model-Based Regulation
#ama #risk #modelbasedregulation #capitalrequirements #basel #banks #regulation
- 26 juil. 2021
A bridge between Local GAAP and Solvency II frameworks to quantify Capital Requirement for demograph
#SolvencyII #gaap #stochastic #demographicrisk #capitalrequirements
- 28 juin 2021
The Asymmetric Effect of Reporting Flexibility on Priced Risk
#asymmetricrisk #sarbox #reporting #capitalrequirements #obfuscation #internalcontrols
- 17 juin 2021
System-Wide and Banks’ Internal Stress Tests: Regulatory Requirements and Literature Review
#compliance #pillars1to3 #basel3 #capitalrequirements #internalmodels #banks #riskmanagement
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