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Advanced Search Results For "CAPITAL requirements"

1 - 10 of 8,946 results for
 "CAPITAL requirements"
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Do Capital Requirements Make Banks Safer? Evidence From a Quasinatural Experiment.

Publication Type:Academic Journal

Source(s):Journal of Financial & Quantitative Analysis. Aug2022, Vol. 57 Issue 5, p1805-1833. 29p.

Abstract:We use the EBA capital exercise of 2011 as a quasinatural experiment to investigate how capital requirements affect various measures of bank solvency risk. We show that, while regulatory measures of solvency improve, nonregulatory measures indicate a d...

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The Bond-Pricing Implications of Rating-Based Capital Requirements.

Publication Type:Academic Journal

Source(s):Journal of Financial & Quantitative Analysis. Sep2022, Vol. 57 Issue 6, p2177-2207. 31p.

Abstract:This article demonstrates that rating-based capital requirements, through their impact on insurers' investment demand, affect corporate bond prices. Consistent with insurers' low demand for investment-grade bonds with a rating close to noninvestment-gr...

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Assessing the economy-wide impacts of strengthened bank capital requirements in Indonesia using a financial computable general equilibrium model.

Publication Type:Academic Journal

Source(s):Applied Economics. Oct2022, Vol. 54 Issue 46, p5287-5304. 18p. 2 Diagrams, 7 Charts, 17 Graphs.

Abstract:After the 2008 global financial crisis, authorities across the globe stressed the importance of equity capital to absorb losses. While many countries have raised bank capital adequacy requirements (CARs), the comprehensive impact assessment of this pol...

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Combining multi-asset and intrinsic risk measures.

Publication Type:Academic Journal

Source(s):Insurance: Mathematics & Economics. Sep2022, Vol. 106, p254-269. 16p.

Abstract:The risk of a future payoff is commonly quantified by calculating the costs of a hedging portfolio such that the resulting position is acceptable, i.e., that it passes a capital adequacy test. A multi-asset risk measure describes the minimal external c...

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Green nested simulation via likelihood ratio: Applications to longevity risk management.

Publication Type:Academic Journal

Source(s):Insurance: Mathematics & Economics. Sep2022, Vol. 106, p285-301. 17p.

Abstract:In the context of longevity risk, the nested simulation problem arises in various applications such as evaluating the effectiveness of longevity hedges and estimating solvency capital requirements. The standard nested simulation method demands a lot of...

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Care-dependent tontines.

Publication Type:Academic Journal

Source(s):Insurance: Mathematics & Economics. Sep2022, Vol. 106, p69-89. 21p.

Abstract:With the gradual deepening of aging, the affordability of long-term care (LTC) services in aging societies will become increasingly questionable. Both private stand-alone LTC insurance and care-dependent annuity do not seem to provide efficient solutio...

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An asymptotic study of systemic expected shortfall and marginal expected shortfall.

Publication Type:Academic Journal

Source(s):Insurance: Mathematics & Economics. Jul2022, Vol. 105, p238-251. 14p.

Abstract:• Quantify SES and MES in accordance with quantitative risk management. • Model losses as randomly weighted and heavy-tailed random variables. • Employ ES to determine solvency capital requirement and conduct capital allocation. • Conduct an asymptotic...

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Bank capital structure and regulation: Overcoming and embracing adverse selection.

Publication Type:Academic Journal

Source(s):Journal of Financial Economics. Mar2022, Vol. 143 Issue 3, p973-992. 20p.

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