کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5088766 | 1478324 | 2015 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Capital adequacy tests and limited liability of financial institutions
ترجمه فارسی عنوان
آزمون های کفایت سرمایه و مسئولیت محدود موسسات مالی
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 51, February 2015, Pages 93-102
Journal: Journal of Banking & Finance - Volume 51, February 2015, Pages 93-102
نویسندگان
Pablo Koch-Medina, Santiago Moreno-Bromberg, Cosimo Munari,