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Fat-Tails and their (Un)Happy Endings

Fat-Tails and their (Un)Happy Endings »

Source: Fat-Tails and their (Un)Happy Endings : Correlation Bias and its Implications for Systemic Risk and Prudential Regulation

Volume/Issue: 2011/82

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2011

ISBN: 9781455226061

Keywords: Basel III, correlation bias, copula capital structure model, prudential regulation, systemic risk., correlation, subordinated debt, banking, probability, General Financial Markets: Government Policy and Regulation

The correlation bias refers to the fact that claim subordination in the capital structure of the firm influences claim holders' preferred degree of asset correlation in portfolios held by the firm. Using the copula...

Fat-Tails and their (Un)Happy Endings
			: Correlation Bias and its Implications for Systemic Risk and Prudential Regulation

Fat-Tails and their (Un)Happy Endings : Correlation Bias and its Implications for Systemic Risk and Prudential Regulation »

Volume/Issue: 2011/82

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2011

DOI: http://dx.doi.org/10.5089/9781455226061.001

ISBN: 9781455226061

Keywords: Basel III, correlation bias, copula capital structure model, prudential regulation, systemic risk., correlation, subordinated debt, banking, probability, General Financial Markets: Government Policy and Regulation

The correlation bias refers to the fact that claim subordination in the capital structure of the firm influences claim holders' preferred degree of asset correlation in portfolios held by the firm. Using the copula...

Possible Unintended Consequences of Basel III and Solvency II

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

DOI: http://dx.doi.org/10.5089/9781462308279.001

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...

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...