Search Results - subject_exact:"Basel Accord"

Excess liquidity and bank stability : empirical evidence in Vietnam

Nguyen Quoc Anh; Tang My Sang - 2024

Purpose: The article has developed a research model to measure the effect of liquidity and excess liquidity on bank stability. Design/methodology/approach: Other variables such as bank size, loan growth, economic state, and inflation are also incorporated into the research model to ascertain the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015069353

The liquidity coverage ratio a decade on : a stocktake of the literature

Dörr, Sebastian; Drehmann, Mathias - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015619088

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The liquidity coverage ratio a decade on : a stocktake of the literature

Dörr, Sebastian; Drehmann, Mathias - 2026

Book / Working Paper

Synthetic risk transfers

2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015611480

Cross-border banking, intragroup exposures, and risk-taking

Cuijpers, Eric; Vlahu, Razvan - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015611564

Mission drift or strategic expansion? : non-core lending, risk, and capital in US credit unions

Hu, Changjie; Chen, Zhu; Cao, Ting - 2026

This study investigates credit unions' expansion into non-core lending and its association with risk and financial resilience. Using US credit union call report data from 1994 to 2024, we measure the share of purchased loans, lease receivables, and loans held for sale in non-core lending. We...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614308

The credit gap as a real-time early warning indicator of financial imbalances : a South African perspective

Msiska, Wongani; Sikhosana, Ayanda; Vermeulen, Cobus - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015615329

Systemic operational risk in Morocco's banking sector : an empirical analysis using panel VAR

El Khadi, Kawtar; Firano, Zakaria - 2026

This study examines the systemic operational risk in Morocco's banking sector using a Panel VAR model based on data from three banks over ten years. The model includes real GDP, interbank rate (TMP), and bank credit, alongside indicators of operational, credit, and liquidity risks. The Impulse...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591384

A structural model of capital buffer usability

Lang, Jan Hannes; Menno, Dominik - 2026

Under which conditions do usability constraints for regulatory capital buffers emerge? To answer this question, we build a non-linear structural banking sector model with a minimum capital requirement that banks are not allowed to breach, and a capital buffer requirement (CBR) that banks can...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015605600

How CCyBs travel : internal capital markets & domestic borrowing

Imbierowicz, Björn; Löffler, Axel; Ongena, Steven; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015636974

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How CCyBs travel : internal capital markets & domestic borrowing

Imbierowicz, Björn; Löffler, Axel; Ongena, Steven; … - 2026

Book / Working Paper

Covid-19 pandemic crisis and macroprudential policy measures in Brazil

Bandeira, Fernanda Martins; Ornelas, José Renato Haas - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015625394

Synthetic, but how much risk transfer?

Osberghaus, Alex; Schepens, Glenn - 2026

Banks use synthetic risk transfers (SRTs) to offload potential losses in their loan portfolios to non-bank investors while retaining the loans on their balance sheets. We investigate this trillion-euro market using transaction-level data from the euro area, the largest SRT market, and highlight...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015626666

Systematic backtesting of probability of default models with regulatory data : methodological advances and empirical insights from European regulatory data

Casellina, Simone; Chionsini, Gaetano; Kopp, Raphael M.; … - 2026

Internal ratings-based models play a central role in bank risk management and regulatory capital determination, yet their validation remains methodologically challenging and operationally resourceintensive. In this paper, we contribute to the quantitative validation of probability of default...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638710

ESG disclosure quality and banking risk : a dynamic panel analysis of Middle East and African banks

Ahmed, Ibrahim El Siddig - 2026

This study aims to analyze the impact of environmental, social, and governance (ESG) disclosure quality on banking risk. Data were collected from the 100 largest commercial banks in the Middle East and Africa over ten years and examined using econometric analysis to measure the influence of ESG...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638960

The role of judgement in supervisory scores and additional capital requirements assigned to banks

Bobeică, Gabriel; Oprică, Silviu - 2026

We empirically analyse the role of judgement in assigning overall scores by the euro area supervisors as part of the yearly Supervisory Review and Evaluation Process (SREP), which evaluates banks' risks and sets supervisory actions. We also analyse its role in shaping the drivers of the Pillar 2...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015641464

The effect of regulatory liquidity measure on bank capital structure

Mabandla, Ndonwabile Zimasa; Marozva, Godfrey - 2026

This study investigates the effects of liquidity regulation, specifically the liquidity coverage ratio (LCR), on the capital structure of South African banks, with a focus on debt maturity composition. Using panel data covering the period 2015-2024, the analysis applies the Generalized Method of...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015656185

Reserve requirement ratio and capital flows : a regime-switching DSGE estimation for China

Hu, Ruopu - 2026 - This version: March 31, 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015647392

Banking regulation with risk of sovereign default

D'Erasmo, Pablo N.; Livshits, Igor; Schoors, Koen - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015573480

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Banking regulation with risk of sovereign default

D'Erasmo, Pablo N.; Livshits, Igor; Schoors, Koen - 2026

Book / Working Paper

Banking regulation with risk of sovereign default

D'Erasmo, Pablo N.; Livshits, Igor; Schoors, Koen - 2019

Book / Working Paper

Banking regulation with risk of sovereign default

D'Erasmo, Pablo N.; Livshits, Igor; Schoors, Koen - 2019

Book / Working Paper

Differentiated deleveraging : how do banks respond to capital ratios and capital requirements?

Bun, Maurice J. G.; Cuijpers, Eric - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015652048

The impact of ESG performance on non-performing loans, capital adequacy, liquidity risk, and net balance sheet position in banks

Ciğer, Ayşegül; Yetiz, Filiz; Kınay, Bülent - 2026

This study examines the relationship between banks' ESG performance and core risk and balance sheet indicators in the Turkish banking sector. Using an unbalanced panel of eight banks listed on Borsa Istanbul over the period 2008-2023, we estimate bank fixed-effects models with one-year-lagged...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015652115

From nature shocks to financial stability : incorporating nature physical risks - in particular water-related risks - into banks' credit risk models and insurers' market risk models

Gallet, Sébastien; Prodani, Julja; Rang, Kitty - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015632814

Understanding the banking sector capital framework in the European Union

Dzezulskis, Skirmantas; Libertucci, Massimo; McPhilemy, … - 2026

This paper describes and evaluates the European Union (EU) banking sector capital framework, focusing on how the international standards set by the Basel Committee on Banking Supervision have been implemented within the EU. Using granular supervisory data for significant institutions under the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015636151

Risky firms and fragile banks : implications for macroprudential policy

Gasparini, Tommaso; Lewis, Vivien; Moyen, Stéphane; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015574503

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Risky firms and fragile banks : implications for macroprudential policy

Gasparini, Tommaso; Lewis, Vivien; Moyen, Stéphane; … - 2026

Book / Working Paper

Risky firms and fragile banks : implications for macroprudential policy

Gasparini, Tommaso; Lewis, Vivien; Moyen, Stéphane; … - 2024

Book / Working Paper

Risky firms and fragile banks : implications for macroprudential policy

Gasparini, Tommaso; Lewis, Vivien; Moyen, Stéphane; … - 2024

Book / Working Paper

Lending in a crisis under model-based regulation

Fiordelisi, Franco; Fusi, Giulia; Maddaloni, Angela; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015665689

Bank regulation and post-2008 US monetary policy

Hu, Ruopu; Schabert, Andreas - 2026 - This version: March 19, 2026

Since U.S. bank capital holdings began rising almost concurrently with the monetary policy change after 2008, we examine the role of capital requirements for monetary policy regimes. While standard models predict that equilibrium determination and responses to aggregate shocks are fundamentally...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015625616

How do credit unions adjust their capital ratios? : evidence from Brazil

Zancan, Flávia; Moraes, Marcelo Botelho da Costa - 2026

The purpose of this paper is to analyze the speed at which credit unions adjust their capital ratios.The systemic Generalized Method of Moments (GMM-Sys) was applied to 704 Brazilian individual credit unions from 2014 to 2022, with a total of 5,864 observations.The results indicate that the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015644821

Bank valuation and macroprudential capital buffers

Cuijpers, Eric - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015668638

Calibrating the positive neutral and overall CCyB : a macroprudential stress testing approach

Mikaliūnaitė-Jouvanceau, Ieva - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015669004

Liquidity regulation and bank funding costs

Aldasoro, Iñaki; Dörr, Sebastian; Zhou, Haonan - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015668355

Making stablecoins stable(r): can regulation help?

Goel, Tirupam; Lewrick, Ulf; Agarwal, Isha - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015668384

The credibility of bail-in

Lengwiler, Yvan; Rishabh, Kumar - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015668390

A static capital buffer is hard to beat

Canzoneri, Matthew B.; Diba, Behzad; Guerrieri, Luca; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015668541

Financing the transition to greenhouse gas neutrality : is the German banking system prepared?

Baccianti, Claudio; Baltzer, Markus; Boesel, Nils; … - 2026

Achieving Germany's goal of greenhouse gas neutrality by 2045 requires a shift to non-fossil energy sources and low-carbon production and consumption patterns. This transformation necessitates substantial investments. According to existing evidence, estimates of additional investment needs -...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015666563

Determinants of capital adequacy and voluntary capital buffer among microfinance institutions in an emerging market

Duho, King Carl Tornam - 2023

This study examines the determinants of capital adequacy and voluntary capital buffers among microfinance institutions (MFIs). We apply the two-stage least squares (2SLS) with instrumental variables to account for endogeneity. Using quarterly panel data of 439 MFIs in Ghana covering the period...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014501012

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Determinants of capital adequacy and voluntary capital buffer among microfinance institutions in an emerging market

Duho, King Carl Tornam - 2023

Article

Solvency requirements for insurers : Ukrainian practices and international experience

Novosolova, Olena - 2025

The relevance of the study was due to the transformation of approaches to regulating the solvency of insurers in the world's leading economies and the need to adapt the Ukrainian insurance supervision system to international standards. Countries with developed insurance markets use capital...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015616705

CBDCs, regulated stablecoins and tokenized traditional assets under the Basel Committee rules on cryptoassets

Wong, Michael C. S.; Yousaf, Imran - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015202588

What motives and conditions drive countries to adopt macroprudential and capital management measures?

Nieminen, Mika; Norring, Anni - 2025

Countries choose diverse policy mixes of macroprudential and capital flow management measures, yet the drivers behind these policy choices remain largely unexplored. We identify potential conditions for the adoption and determinants of the use of macroprudential and capital flow management...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015371225

Long-term loans and capital requirements in universal banking : sectoral spillovers and crowding out effects

Lejeune, Thomas; Mohimont, Jolan - 2025

We extend the reference DSGE model used for policy analysis at the NBB with a financial sector, by incorporating multi-period fixed-rate corporate and mortgage loans, an imperfect pass-through from policy rates to the deposit rate, and bank capital re-quirements. Adding multi-period fixed-rate...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015374987

Tailored microprudential recommendations for bank profit retention using a risk tolerance framework

Jakubik, Petr; Moinescu, Bogdan Gabriel - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015333018

Bank regulation, investment, and capital requirements under adverse selection

Rivera, Thomas J. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015357654

Capital ratios and the Weighted Average Cost of Capital : evidence from Chilean banks

Cifuentes, Rodrigo; Gómez, Tomás; Jara R., Alejandro - 2025

This paper finds that an additional percentage point in the ratio of Common Equity Tier 1 (CET1) capital to risk-weighted assets is associated with an increase in the Weighted Average Cost of Capital (WACC) of Chilean banks by a maximum of only 11.7 basis points. This result is found by...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015358020

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Capital ratios and the weighted average cost of capital: evidence from Chilean banks

Cifuentes, Rodrigo; Gómez, Tomás; Jara R., Alejandro - 2022

Book / Working Paper

Bank bond holdings and bail-in regulatory changes : evidence from euro area security registers

Altavilla, Carlo; Fernandes, Cecilia Melo; Ongena, Steven; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015358109

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Bank bond holdings and bail-in regulatory changes : evidence from euro area security registers

Altavilla, Carlo; Fernandes, Cecilia Melo; Ongena, Steven; … - 2022

Book / Working Paper

Green firms are less risky : results from a preferential capital requirement programme in emerging Europe

Várgedő, Bálint; Burger, Csaba; Kim, Donát - 2025

This study evaluates the credit risk of sustainable loans in a preferential capital requirement programme. We utilise loanlevel data from a uniquely implemented programme from Hungary, applying logistic regressions and survival analysis techniques. We observe a significantly reduced credit risk...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015329839

Bank economic capital

Hirtle, Beverly J.; Plosser, Matthew C. - 2025

Conventional measures of bank solvency fail to account for the unique liquidity risks posed by deposits. Using public regulatory data, we develop a novel measure, economic capital, that jointly quantifies the impact of credit, liquidity, and market risk on bank solvency. We validate that...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015329950

The cross border effects of bank capital regulation in general equilibrium

San Millán, Maximiliano - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015421184

The effectiveness of macroprudential policies in curbing operational risk exposures

Konstantinou, Panagiotis; Rizos, Anastasios; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015422762

Technical development of countercyclical capital buffer implementation in Mongolia's banking sector

Oyungerel, Enkhbaatar; Erdenebileg, Urangoo - 2025

This paper attempts to develop a framework for implementing the Countercyclical Capital Buffer (CCyB) in Mongolia's banking sector by identifying early warning indicators of systemic risk and examining the impact of capital adequacy on bank lending. Using quarterly data from 2000 to 2024, the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015423905

Précisions importantes sur le backtesting comparatif de la VaR

Hassani, Samir Saissi - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464246

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Précisions importantes sur le backtesting comparatif de la VaR

Hassani, Samir Saissi - 2025

Book / Working Paper

Précisions importantes sur le backtesting comparatif de la VaR

Hassani, Samir Saissi - 2022

Book / Working Paper

Précisions importantes sur le backtesting comparatif de la VaR

Hassani, Samir Saissi - 2022

Book / Working Paper

NMDs logistic regression model

Cappellina, Luca; Sartore, Domenico - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464272

The impact of capital requirements on bank capital

2025

This paper presents the first causal evidence on how banks adjust their voluntary capital buffers (the capital headroom above the required level) in response to changes in capital requirements. Using granular euro area data and exploiting the threshold-based assignment of Other Systemically...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015465362

Buffer usability in a complex world : interactions between macroprudential regulation and the resolution framework

2025

This paper explores the interplay between the risk- and leverage-based prudential and the resolution frameworks within the EU banking system. The prudential framework is designed to enhance the resilience of both individual banks and the banking sector as a whole. It does so by imposing minimum...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015465633