Possible unintended consequences of Basel III and Solvency II /

Possible unintended consequences of Basel III and Solvency II /

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Bibliographic Details
Imprint:[Washington, D.C.] : International Monetary Fund, 2011.
Description:1 online resource (70 pages) : color illustrations
Language:English
Series:IMF working paper, 1934-7073 ; WP/11/187
IMF working paper ; WP/11/187.
Subject:
Banks and banking, International -- Risk management.
Bank capital -- Econometric models.
Bank capital -- Econometric models.
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/12499926
Hidden Bibliographic Details
Other authors / contributors:Al-Darwish, Ahmed, author.
International Monetary Fund. Monetary and Capital Markets Department, issuing body.
ISBN:1283565277
9781283565271
9781463900649
1463900643
1463900635
9781463900632
1463901984
9781463901981
9786613877727
6613877727
9781462308279
1462308279
Notes:At head of title: Monetary and Capital Markets Department.
Title from PDF title page (IMF, viewed Jan. 9, 2011).
"August 2011."
Includes bibliographical references (pages 54-55).
English.
Summary:'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 efficiency, but are also unstable channels of contagion. Basel III and Solvency II should improve the stability of these connections, but could have unintended consequences for cost of capital, funding patterns, interconnectedness, and risk migration."--Abstract.
Other form:Print version: Fund, International Monetary. Possible Unintended Consequences of Basel III and Solvency II. Washington : International Monetary Fund, ©2011 9781462308279
Standard no.:10.5089/9781463900632.001
Table of Contents:
  • Cover Page; Title Page; Copyright Page; Contents; Glossary; I. Introduction; II. Banks and Insurers Assets and Liabilities; A. Differences in Business Model; 1. Funding Structure of European Insurers and Banks; 2. Levels and Quality of Capital for Select Insurers and Banks; B. Key Differences in Accounting Standards; C. Differences in the Ability to Change Assets and Liabilities; D. Different Treatment of Similar Products; E. Implications; III. Overview of the Two Accords; A. Key Elements of Basel III; B. Key Elements of Solvency II; C. Implications; IV. Pillar 1: Components of Capital.
  • 1. Quality of Capital under Basel III and Solvency II1. Basel III Bail-in Capital Proposals; A. Loss-Absorption Capacity; B. Regulatory Adjustments to Capital; 2. Regulatory Adjustments to Capital Under Basel III and Solvency II; C. Implications; V. Pillar 1: Required Capital; A. Overall Methodology; B. Risk Aggregation and Dependencies; 3. Solvency II Correlations Among Risk Classes; C. Scope for Consolidation; D. Supervisory Responses to Breaches of the Capital Requirements; E. Implications; VI. Unintended Consequences of the Two Accords; A. Cost of Capital.
  • B. Funding Patterns and Interconnectedness3. Bank's Debt Funding Sources by Type of Investor; C. Risk/Product Transfers; D. Other Potential Sources of Arbitrage; VII. Conclusions; I. An overview of the Basel III and Solvency II Accords; 4. Overall Modifications of the Basel II Accord; 5. Basel III Framework; 6. Basel III Capital Requirements (percentage of RWA); 7. Overall Modifications of the Solvency I Accord; 2. Solvency II SCR and MCR Estimation; II. Capital Required for Various Risks under Basel III and Solvency II; A1. Basel II/III Credit Risk Weights: Standardized Approach.
  • A2. Solvency II Credit Risk FactorsA3. Basel III Market Risk Capital Charges for Specific Risk; A4. Solvency II Interest Rate Risk Scenarios; References; Footnotes.

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