Description |
1 online resource (70 pages) : color illustrations |
Series |
IMF working paper, 1934-7073 ; WP/11/187 |
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IMF working paper ; WP/11/187.
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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 |
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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 |
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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 |
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A2. Solvency II Credit Risk FactorsA3. Basel III Market Risk Capital Charges for Specific Risk; A4. Solvency II Interest Rate Risk Scenarios; References; Footnotes |
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 |
Notes |
At head of title: Monetary and Capital Markets Department |
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Title from PDF title page (IMF, viewed Jan. 9, 2011) |
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"August 2011." |
Bibliography |
Includes bibliographical references (pages 54-55) |
Notes |
English |
Subject |
Banks and banking, International -- Risk management
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Bank capital -- Econometric models
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Bank capital -- Econometric models
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Form |
Electronic book
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Author |
Al-Darwish, Ahmed, author
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International Monetary Fund. Monetary and Capital Markets Department, issuing body.
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ISBN |
1283565277 |
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9781283565271 |
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9781463900649 |
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1463900643 |
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1463900635 |
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9781463900632 |
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1463901984 |
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9781463901981 |
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9786613877727 |
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6613877727 |
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9781462308279 |
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1462308279 |
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