Browse

You are looking at 1 - 6 of 6 items :

  • IMF Staff Discussion Notes x
  • United States x
  • Keywords: iii x
  • Keywords: Financial institutions x
  • Keywords: Basel III x
Clear All
Estimating the Costs of Financial Regulation1

Estimating the Costs of Financial Regulation1 »

Source: Estimating the Costs of Financial Regulation

Volume/Issue: 2012/11

Series: Staff Discussion Notes

Author(s): Andre Santos , and Douglas Elliott

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 September 2012

ISBN: 9781475510089

Keywords: Capital markets, Banks, Bank supervision, Bank reforms, Financial institutions, Basel III, Systemically Important Institutions, Financial Regulation, Capital Requirements, Liquidity Requirements

Staff Discussion Notes showcase the latest policy-related analysis and research being developed by individual IMF staff and are published to elicit comment and to further debate. These papers are generally brief an...

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...

How Risky Are Banks' Risk Weighted Assets? Evidence From the Financial Crisis

How Risky Are Banks' Risk Weighted Assets? Evidence From the Financial Crisis »

Source: How Risky Are Banks' Risk Weighted Assets? Evidence From the Financial Crisis

Volume/Issue: 2012/36

Series: IMF Working Papers

Author(s): Sonali Das , and Amadou Sy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2012

ISBN: 9781463933791

Keywords: crisis, regulation, risk weighted assets, Basel III, banking, return on assets, dummy variables, standard errors, independent variables, Financial Institutions and Services: General

We study how investors account for the riskiness of banks' risk-weighted assets (RWA) by examining the determinants of stock returns and market measures of risk. We find that banks with higher RWA had lower stock r...

Estimating the Costs of Financial Regulation

Estimating the Costs of Financial Regulation »

Volume/Issue: 2012/11

Series: Staff Discussion Notes

Author(s): Andre Santos , and Douglas Elliott

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 September 2012

DOI: http://dx.doi.org/10.5089/9781475510089.006

ISBN: 9781475510089

Keywords: Capital markets, Banks, Bank supervision, Bank reforms, Financial institutions, Basel III, Systemically Important Institutions, Financial Regulation, Capital Requirements, Liquidity Requirements

Staff Discussion Notes showcase the latest policy-related analysis and research being developed by individual IMF staff and are published to elicit comment and to further debate. These papers are generally brief an...

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...

How Risky Are Banks' Risk Weighted Assets? Evidence From the Financial Crisis

How Risky Are Banks' Risk Weighted Assets? Evidence From the Financial Crisis »

Volume/Issue: 2012/36

Series: IMF Working Papers

Author(s): Sonali Das , and Amadou Sy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2012

DOI: http://dx.doi.org/10.5089/9781463933791.001

ISBN: 9781463933791

Keywords: crisis, regulation, risk weighted assets, Basel III, banking, return on assets, dummy variables, standard errors, independent variables, Financial Institutions and Services: General

We study how investors account for the riskiness of banks' risk-weighted assets (RWA) by examining the determinants of stock returns and market measures of risk. We find that banks with higher RWA had lower stock r...