Search Results - subject_exact:"New Basel Accord"

Narrow search

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

Dörr, Sebastian; Drehmann, Mathias - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015619088

Show one more version 1

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://ebvufind01.dmz1.zbw.eu/10015611480

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

Cuijpers, Eric; Vlahu, Razvan - 2026

Persistent link: https://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://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://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://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://ebvufind01.dmz1.zbw.eu/10016070032

Show one more version 1

A structural model of capital buffer usability

Lang, Jan Hannes; Menno, Dominik - 2026

Book / Working Paper

A structural model of capital buffer usability

Lang, Jan Hannes; Menno, Dominik - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015605600

Show one more version 1

A structural model of capital buffer usability

Lang, Jan Hannes; Menno, Dominik - 2026

Book / Working Paper

How CCyBs travel : internal capital markets & domestic borrowing

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

We examine how foreign macroprudential tightening transmits through multinational firms' internal capital markets. Using subsidiary exposure to countercyclical capital buffer (CCyB) increases, we find that while bank credit to subsidiaries falls 10 percent, parents fully substitute this via...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015625022

Show one more version 1

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://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://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://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://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://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://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://ebvufind01.dmz1.zbw.eu/10015647392

Banking regulation with risk of sovereign default

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015573480

Show 3 more versions 3

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://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://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://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://ebvufind01.dmz1.zbw.eu/10015636151

Risky firms and fragile banks : implications for macroprudential policy

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015574503

Show 3 more versions 3

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

Bank valuation and macroprudential capital buffers

Cuijpers, Eric - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668638

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

Mikaliūnaitė-Jouvanceau, Ieva - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015669004

Liquidity regulation and bank funding costs

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668355

Making stablecoins stable(r): can regulation help?

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668384

A static capital buffer is hard to beat

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668541

Lending in a crisis under model-based regulation

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

Persistent link: https://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://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://ebvufind01.dmz1.zbw.eu/10015644821

The credibility of bail-in

Di Stefano, Alessandro; Lengwiler, Yvan; Rishabh, Kumar - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668390

Energy dependence, environmental quality and banking sector capital : new evidence from OECD countries

Leogrande, Angelo; Anobile, Fabio; Costantiello, Alberto; … - 2026

The current study investigates the relationships among environmental variables, energy sector characteristics, and the resilience of the financial sector using a panel dataset of OECD countries covering 2004-2021. For that purpose, information from the World Bank Global Financial Development...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676637

Threshold-dependent dominance in tail risk approximation

Agbeyegbe, Terence D. - 2026

Regulatory risk measurement under Basel III’s Fundamental Review of the Trading Book places Expected Shortfall (ES) at the center of market risk capital, yet the fourth-order Edgeworth expansion, still widely used for Value-at-Risk (VaR) and ES calculations, can produce negative densities in...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016059569

The informational content of bank risk weights and the role of internal ratings

Bruno, Brunella; Corielli, Francesco; Marino, Immacolata; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016060062

Bank lending, liquidity regulation and unconventional monetary policies in the Eurozone

Casu, Barbara; Chiaramonte, Laura; Cucinelli, Doriana - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016060734

Balancing financial stability and credit access : the role of Capital Buffers and bail-in instruments in Indonesian banking

Khoiriah, Titi; Rokhim, Rofikoh; Wibowo, Buddi - 2026

The 2008 financial crisis pushed policymakers around the world to rethink how banks could manage risk, leading to the implementation of stricter regulations, including capital buffers and bail-in mechanisms, aimed at making the financial system more resilient. This study examines how three key...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016061650

One year on from the new IRRBB / CSRBB regulatory framework : evidence, implementation challenges and open issues from Italian banks

Gianfrancesco, Igor; Pansini, Annalisa; Preger, Alina; … - 2026

This paper provides an empirical assessment of the implementation of the new IRRBB and CSRBB regulatory framework approximately one years after its introduction, based on evidence from an AIFIRM survey on 25 Italian banks. The analysis covers three reporting dates (31 December 2023, 31 December...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016070034

Coordinating bank dividend and capital regulation

Federico, Salvatore; Modena, Andrea; Regis, Luca - 2026 - This version: 14th July 2026

This paper examines how state-dependent dividend restrictions (taxes and bans) and capital requirements influence a bank's optimal capital buffers accumulation and risk-taking decisions. In the model, the bank distributes dividends and issues costly equity to maximise shareholder value, while...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015673281

Show one more version 1

Coordinating bank dividend and capital regulation

Federico, Salvatore; Modena, Andrea; Regis, Luca - 2025

Book / Working Paper

Acting under uncertainty - the case for supervisory risk appetite frameworks

Balan, Monica; Zamil, Raihan - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016074023

On the comparison of capital requirements for global systemically important banks

Baudino, Patrizia; Beissinger, Jonathan; Corrias, Renzo; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016074039

Do not blame Basel: the output floor and Europe's banking competitiveness debate

Arnal, Judith; Lannoo, Karel - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016060992

Climate risk's assimilation in bank regulation : law's internal dialogue amidst uncertainty

Ramos Muñoz, David - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016070694

Asymmetric information and capital regulation in SME lending : a structural model of bank and non-bank competition

Jazi, Negar Mohammadi; Netto, Felipe - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016063644

The devil in the DeTail : assessing state-contingent tail effects of a releasable macroprudential capital buffer using a parsimonious agent-based framework

Minnella, Enrico; Pereira, Ana; Tereanu, Eugen - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016063598

Capital requirements and process innovation

Beckert, Walter; Eccles, Peter; Siciliani, Paolo - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016063658

Underwater : strategic trading and risk management in bank securities portfolios

Fuster, Andreas; Paligorova, Teodora; Vickery, James - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016083095

Is bank supervision fit for purpose?

Tarullo, Daniel K. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016081806

The economic effects of changes to bank capital regulation : evidence from the United Kingdom

D'Amario, Federico; De-Ramon, Sebastian J. A.; Francis, … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016064149

Can banks finance the EU's strategic priorities?

Brouwer, Guus; Kakes, Jan; Martens, Kenny; Schaik, … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016081222

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://ebvufind01.dmz1.zbw.eu/10015616705