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We introduce the regulatory arbitrage of risk measures, one of the key considerations in choosing a suitable risk … measure to use in banking regulation. A regulatory arbitrage is the amount of capital requirement reduced by splitting a … financial risk into several fragments, regulated via a risk measure separately. Coherent risk measures by definition are free of …
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the same insurance holding group. Our findings expose how insurers use reinsurance to obfuscate their asset risk …
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the risk of the whole portfolio including KVA across all counterparty positions. Hence there are entity level aspects of …
Persistent link: https://www.econbiz.de/10013031952
The lack of portfolio granularity in terms of exposure has been shown to have important implications for the amount of a financial institution's economic capital. Based on a numerical simulation model, we provide concrete examples of how granularity affects capital levels. We achieve this by...
Persistent link: https://www.econbiz.de/10012101497
The article deals with the liquidity risk in the banks in the context of the financial crisis. At first, the balance … sheet and market liquidity are defined and the main principles of the methods for measuring liquidity risk, which banks use …
Persistent link: https://www.econbiz.de/10011460084
communicating whether to initiate a bailout program to maintain risk taking by banks …
Persistent link: https://www.econbiz.de/10013119079
) risk. Using manually collected data from microfinance institutions' financial reporting, I find that the microfinance … sector faces minimal liquidity risk, high interest rate risk and a lower than commonly assumed exposure to FX risk. Linking … risk exposure to institutional characteristics, the data shows that legal status and regional affiliation are correlated …
Persistent link: https://www.econbiz.de/10011779562