منابع مشابه
External Risk Measures and Basel Accords
Choosing a proper external risk measure is of great regulatory importance, as exemplified in the Basel II and Basel III Accords, which use value-at-risk with scenario analysis as the risk measures for setting capital requirements. We argue that a good external risk measure should be robust with respect to model misspecification and small changes in the data. A new class of data-based risk measu...
متن کاملMoral language in the Basel Accords: A quantitative analysis
Technical documents are generally perceived as objective and free of opinion. The Basel Accords, a global financial regulatory standard, fall into this category. Therefore, political texts have to appear as morally neutral. In this paper we argue that some moral arguments and convictions can be found in most texts, including technical ones. To test this hypothesis, we employ a novel quantitativ...
متن کاملAsset Allocation under the Basel Accord Risk Measures
Financial institutions are currently required to meet more stringent capital requirements than they were before the recent financial crisis; in particular, the capital requirement for a large bank’s trading book under the Basel 2.5 Accord more than doubles that under the Basel II Accord. The significant increase in capital requirements renders it necessary for banks to take into account the con...
متن کاملThe Basel Capital Accords and International Mortgage Markets: A Survey of the Literature
This paper surveys the literature on the impacts of the Basel Capital Accords on banking market profitability, competitiveness, structure and risk-taking. Special emphasis is applied to the evolution of mortgage markets throughout the world over almost two decades of international bank regulatory policies. This paper has received generous financial support from the Canada Housing and Mortgage C...
متن کاملThe impact of Basel Accords on the lender's profitability under different pricing decisions
In response to the deficiencies in financial regulation revealed by the global financial crisis, the Basel Committee on Banking Supervision (BCBS) is proposing to introduce a new capital regulatory standard to improve the banks' ability to absorb shocks arising from financial and economic stress. The regulatory capital requirements in the third of Basel Accords is conceptually similar to the mi...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2055634