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Heterogeneity of Bank Risk Weights in the EU

Heterogeneity of Bank Risk Weights in the EU »

Source: Heterogeneity of Bank Risk Weights in the EU : Evidence by Asset Class and Country of Counterparty Exposure

Volume/Issue: 2017/137

Series: IMF Working Papers

Author(s): Rima Turk-Ariss

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 09 June 2017

ISBN: 9781484302958

Keywords: Bank Capital; Regulation; Risk Weights; Basel III, Bank Capital, Regulation, Risk Weights, Basel III

Concerns about excessive variability in bank risk weights have prompted their review by regulators. This paper provides prima facie evidence on the extent of risk weight heterogeneity across broad asset classes and...

Liquidity and Transparency in Bank Risk Management

Liquidity and Transparency in Bank Risk Management »

Source: Liquidity and Transparency in Bank Risk Management

Volume/Issue: 2013/16

Series: IMF Working Papers

Author(s): Lev Ratnovski

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 18 January 2013

ISBN: 9781616356774

Keywords: regulation, Basel III, hedging, hedge, bank transparency, banking, bank liquidity, Government Policy and Regulation,

Banks may be unable to refinance short-term liabilities in case of solvency concerns. To manage this risk, banks can accumulate a buffer of liquid assets, or strengthen transparency to communicate solvency. While a...

Bank Capital Adequacy in Australia

Bank Capital Adequacy in Australia »

Source: Bank Capital Adequacy in Australia

Volume/Issue: 2012/25

Series: IMF Working Papers

Author(s): Niamh Sheridan , and B. Jang

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2012

ISBN: 9781463932527

Keywords: Canada, Basel II, Basel III, loss given default, probability of default, stress tests, mortgages, residential mortgages, banking, mortgage

The paper finds that, given Australia's conservative approach in implementing the Basel II framework, Australian banks' headline capital ratios underestimate their capital strengths. Given their high capital qualit...

Next Generation Balance Sheet Stress Testing1

Next Generation Balance Sheet Stress Testing1 »

Source: Next Generation Balance Sheet Stress Testing

Volume/Issue: 2011/83

Series: IMF Working Papers

Author(s): Christian Schmieder , Maher Hasan , and Claus Puhr

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2011

ISBN: 9781455226054

Keywords: Solvency Risk, Basel II, Basel III, banking, capital requirements, banking systems, market risk, General Financial Markets: General (includes Measurement and Data), Financial Institutions and Services: General,

This paper presents a "second-generation" solvency stress testing framework extending applied stress testing work centered on Cihák (2007). The framework seeks enriching stress tests in terms of risk-sensitivity, w...

Developments in Financial Supervision and the Use of Macroprudential Measures in Central America

Developments in Financial Supervision and the Use of Macroprudential Measures in Central America »

Source: Developments in Financial Supervision and the Use of Macroprudential Measures in Central America

Volume/Issue: 2011/299

Series: IMF Working Papers

Author(s): Mynor Meza , and Fernando Delgado

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2011

ISBN: 9781463927851

Keywords: financial regulation, financial supervision, Basel III, Central America, foreign exchange, banking, consolidated supervision, banking supervision, foreign exchange positions

Improvements in financial regulation and supervision in the Central American region (CAPDR) have strengthened financial stability. Prudential instruments with potential macroeconomic effects have been introduced. N...

Possible Unintended Consequences of Basel III and Solvency II

Possible Unintended Consequences of Basel III and Solvency II »

Source: Possible Unintended Consequences of Basel III and Solvency II

Volume/Issue: 2011/187

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2011

ISBN: 9781462308279

Keywords: Basel III, Solvency II, Funding, capital requirements, credit risk, market risk, underwriting, Financial Institutions and Services: Government Policy and Regulation,

In today's financial system, complex financial institutions are connected through an opaque network of financial exposures. These connections contribute to financial deepening and greater savings allocation efficie...

Banks' Adjustment to Basel III Reform

Banks' Adjustment to Basel III Reform »

Source: Banks' Adjustment to Basel III Reform : A Bank-Level Perspective for Emerging Europe

Volume/Issue: 2017/24

Series: IMF Working Papers

Author(s): Michal Andrle , Vladimír Tomšík , and Jan Vlcek

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 10 February 2017

ISBN: 9781475577525

Keywords: Capital adequacy, Europe, Emerging markets, Commercial banks, Banking sector, Bank supervision, Bank reforms, Basel Core Principles, Central banks and their policies, Basel III

The paper seeks to identify strategies of commercial banks in response to higher capital requirements of Basel III reform and its phase-in. It focuses on a sample of nine EU emerging market countries and picks up 5...

Credit Cycle and Capital Buffers in Central America, Panama, and the Dominican Republic

Credit Cycle and Capital Buffers in Central America, Panama, and the Dominican Republic »

Source: Credit Cycle and Capital Buffers in Central America, Panama, and the Dominican Republic

Volume/Issue: 2019/39

Series: IMF Working Papers

Author(s): Valentina Flamini , Pierluigi Bologna , Fabio Di Vittorio , and Rasool Zandvakil

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 February 2019

ISBN: 9781484397992

Keywords: Exchange rate policy, Credit booms, Central banks, Credit pricing, Credit risk, Credit cycle;Financial crises;Countercyclical capital buffer;Basel III;CPI inflation;GFC;countercyclical;synchronicity

Credit is key to support healthy and sustainable economic growth but excess aggregate credit growth can signal the build-up of imbalances and lead to systemic financial crisis. Hence, monitoring the credit cycle is...

Macroprudential Liquidity Stress Testing in FSAPs for Systemically Important Financial Systems

Macroprudential Liquidity Stress Testing in FSAPs for Systemically Important Financial Systems »

Source: Macroprudential Liquidity Stress Testing in FSAPs for Systemically Important Financial Systems

Volume/Issue: 2017/102

Series: IMF Working Papers

Author(s): Andreas A. Jobst , Li Lian Ong , and Christian Schmieder

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2017

ISBN: 9781475597240

Keywords: Liquidity risk, Basel III, cash flow-based approach, liquidity coverage ratio (LCR), net stable funding ratio (NSFR), solvency risk, stress testing, Tourism, Cuba, Caribbean

Bank liquidity stress testing, which has become de rigueur following the costly lessons of the global financial crisis, remains underdeveloped compared to solvency stress testing. The ability to adequately identify...

Next Generation System-Wide Liquidity Stress Testing1

Next Generation System-Wide Liquidity Stress Testing1 »

Source: Next Generation System-Wide Liquidity Stress Testing

Volume/Issue: 2012/3

Series: IMF Working Papers

Author(s): Claus Puhr , Andre Santos , Christian Schmieder , Salih Neftci , Benjamin Neudorfer , Stefan Schmitz , and Heiko Hesse

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2012

ISBN: 9781475502466

Keywords: StressTesting, Basel III, liquidity, solvency, cash flow, maturity, Monetary and Capital Markets Department, General Financial Markets: General (includes Measurement and Data), Financial Institutions and Services: General,

A framework to run system-wide, balance sheet data-based liquidity stress tests is presented. The liquidity framework includes three elements: (a) a module to simulate the impact of bank run scenarios; (b) a module...