Measuring Tail Operational Risk in Univariate and Multivariate Models with Extreme Losses
“This paper considers some univariate and multivariate #operationalrisk #models , in which the #loss severities are modeled by some weakly tail dependent and heavy-tailed positive random variables, and the loss frequency processes are some general counting processes. … The methodology is based on #capitalapproximation within the #baseliii framework (the so-called loss distribution approach).” Lire
Bank Countercyclical Capital Buffer Under the Liquidity Coverage Ratio Regulation
This paper analyzes the relationship between the #baseliii countercyclical #capitalbuffer (#CCyB) and the #liquidity coverage #ratio (#lcr) requirement. The study shows that banks face a risk-liquidity trade-off with the LCR, affecting the CCyB required level to dampen cyclicality in #bank actual #capitalratios. Lire
The Status of People Risk Management in UK Banks
“… some operational risk managers are working more closely with their human resources partners to develop a more cohesive approach to people risk management. In the context of current reforms to the capital requirements for operational risk” Lire
Risk-oriented approach to determining bank’s capital size according to requirements of basel committee on banking supervision
“The conducted experiment on calculation of the bank’s capital for operational risk with different methods showed non-profitability of the results, which requires further improvement of the processes of changes in the banking regulation system based on the Basel regulations.” Lire
Assessing the Impact of Basel III: Evidence from Structural Macroeconomic Models
“… the effects of regulation are positive on GDP whenever the costs and benefits of regulation are both introduced. However, this result may be associated with a temporary economic slowdown in the transition to Basel III, which can be accommodated by monetary policy.” Lire
Basel III and Recourse to Eurosystem Monetary Policy Operations
“In addition to raising capital requirements, it introduced three ratios, two of which set out minimum standards for liquidity and funding risk, i.e. the liquidity coverage ratio and the net stable funding ratio, and one which aims to limit leverage in the banking system, i.e. the leverage ratio… This paper investigates the extent to which the […]
Assessing the Impact of Basel III: Evidence from Structural Macroeconomic Models
“This paper… reviews the different channels of transmission of prudential policy highlighted in the literature and… provides a quantitative assessment of the impact of Basel III reforms using “off-the-shelf” DSGE models. It shows that the effects of regulation are positive on GDP whenever the costs and benefits of regulation are both introduced.” Lire