Systemic risk, Basel III, global financial stability and regulation

Arnold, Bruce Robert; Borio, Claudio; Ellis, Luci; Moshirian, Fariborz

doi:10.1016/j.jbankfin.2012.07.025

Cited by 3 publications

(3 citation statements)

References 8 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The use of capital adequacy ratios to depict regulation against excessive risk-taking in our model should be viewed as a simplifying assumption. For a discussion of various regulations for financial stability see, for example, Furlong and Keeley (1989), VanHoose (2007), Blinder (2010) and Arnold et al (2012). 4 For Basel III see, for example, Cecchetti (2010).…”

Section: (I) the Timing Of The Gamementioning

confidence: 99%

See 1 more Smart Citation

Bank Capital Regulation with Asymmetric Countries

2014

View full text Add to dashboard Cite

When financial markets are global, the impacts of national banking regulations extend beyond national borders. While lax regulatory enforcement improves the profitability of home banks, it also increases loan supply, which in turn reduces the global interest rate spreads. In a two-country model we show that each regulator's enforcement choice is affected by the relative size of the national financial market. An authority regulating a smaller market has a smaller impact on global interest rates and therefore a stronger incentive to relax regulatory enforcement.

show abstract

Section: (I) the Timing Of The Gamementioning

confidence: 99%

“…For a discussion of various regulations for financial stability see, for example, Furlong and Keeley (), VanHoose (), Blinder () and Arnold et al . ().…”

mentioning

confidence: 97%

Bank Capital Regulation with Asymmetric Countries

2014

View full text Add to dashboard Cite

show abstract

“…2 The growth of credit activity is an important aspect of economic development, because credit is a major source of funds for private and public organizations (Hagedoorn, 1996). However, increases in credit supply bring more exposure to credit risk and, in extreme cases, overreliance on credit can compromise the stability of the financial system (Abou-El-Sood, 2015;Arnold, Borio, Ellis, & Moshirian, 2012). Economic crises, such as the one in 2008, indicate a need for greater control and regulation of financial institutions by supervisors and for the development of risk management models.…”

Section: Introductionmentioning

confidence: 99%

Validation of default probability models: A stress testing approach

Tsukahara¹,

Kimura

Sobreiro

et al. 2016

International Review of Financial Analysis

View full text Add to dashboard Cite

This study aims to evaluate the techniques used for the validation of default probability (DP) models. By generating simulated stress data, we build ideal conditions to assess the adequacy of the metrics in different stress scenarios. In addition, we empirically analyze the evaluation metrics using the information on 30,686 delisted US public companies as a proxy of default. Using simulated data, we find that entropy based metrics such as measure M are more sensitive to changes in the characteristics of distributions of credit scores. The empirical sub-samples stress test data show that AUROC is the metric most sensitive to changes in market conditions, being followed by measure M. Our results can help risk managers to make rapid decisions regarding the validation of risk models in different scenarios.

show abstract

The Impact of Macroeconomic Factors on Capital Adequacy of the Russian Banking Sector in the Context of Countercyclical Banking Regulation

Miroshnichenko,

Vyshkovskaia

2024

Systemic Financial Risk

View full text Add to dashboard Cite

Systemic risk, Basel III, global financial stability and regulation

Cited by 3 publications

References 8 publications

Bank Capital Regulation with Asymmetric Countries

Bank Capital Regulation with Asymmetric Countries

Validation of default probability models: A stress testing approach

The Impact of Macroeconomic Factors on Capital Adequacy of the Russian Banking Sector in the Context of Countercyclical Banking Regulation

Contact Info

Product

Resources

About