Not logged in.
Quick Search - Contribution
Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Capital adequacy tests and limited liability of financial institutions |
| Organization Unit | |
| Authors |
|
| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
|
| Journal Title | Journal of Banking and Finance |
| Publisher | Elsevier |
| Geographical Reach | international |
| ISSN | 0378-4266 |
| Volume | 51 |
| Page Range | 93 - 102 |
| Date | 2015 |
| Abstract Text | The theory of acceptance sets and their associated risk measures plays a key role in the design of capital adequacy tests. The objective of this paper is to investigate the class of surplus-invariant acceptance sets. We argue that surplus invariance is a reasonable requirement from a regulatory perspective, since the corresponding capital adequacy tests do not depend on the surplus of a financial institution, which benefits exclusively its shareholders, but only on the default profile, which affects its liability holders. We provide a detailed analysis of surplus-invariant acceptance sets and their associated risk measures and we discuss the link with loss-based and excess-invariant risk measures, recently studied by Cont et al. (2013) and by Staum (2013), respectively. |
| Related URLs | |
| Digital Object Identifier | 10.1016/j.jbankfin.2014.11.002 |
| Other Identification Number | merlin-id:11660 |
| Export |
BibTeX
EP3 XML (ZORA)
|