Determining the banking solvency risk in times of COVID-19 through Gram-Charlier expansions
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Joel F. Houston & Chen Lin & Yue Ma, 2012.
"Regulatory Arbitrage and International Bank Flows,"
Journal of Finance, American Finance Association, vol. 67(5), pages 1845-1895, October.
- Joel F. Houston & Chen Lin & Yue Ma, 2012. "Regulatory Arbitrage and International Bank Flows," Working Papers 152012, Hong Kong Institute for Monetary Research.
- Huang, Xin & Zhou, Hao & Zhu, Haibin, 2012.
"Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis,"
Journal of Financial Stability, Elsevier, vol. 8(3), pages 193-205.
- Xin Huang & Hao Zhou & Haibin Zhu, 2009. "Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis," Finance and Economics Discussion Series 2009-44, Board of Governors of the Federal Reserve System (U.S.).
- Xin Huang & Hao Zhou & Haibin Zhu, 2010. "Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis," BIS Working Papers 296, Bank for International Settlements.
- Kim, Daesik & Santomero, Anthony M, 1988. " Risk in Banking and Capital Regulation," Journal of Finance, American Finance Association, vol. 43(5), pages 1219-1233, December.
- Jones, David, 2000. "Emerging problems with the Basel Capital Accord: Regulatory capital arbitrage and related issues," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 35-58, January.
- Esther B. Del Brio & Trino-Manuel Niguez & Javier Perote, 2009. "Gram-Charlier densities: a multivariate approach," Quantitative Finance, Taylor & Francis Journals, vol. 9(7), pages 855-868.
- Bølviken, Erik & Guillen, Montserrat, 2017. "Risk aggregation in Solvency II through recursive log-normals," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 20-26.
- Kretzschmar, Gavin & McNeil, Alexander J. & Kirchner, Axel, 2010. "Integrated models of capital adequacy - Why banks are undercapitalised," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2838-2850, December.
- Lee, Lung-Fei, 1984. "Tests for the Bivariate Normal Distribution in Econometric Models with Selectivity," Econometrica, Econometric Society, vol. 52(4), pages 843-863, July.
- Pavel V. Shevchenko, 2010. "Implementing loss distribution approach for operational risk," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 26(3), pages 277-307, May.
- Abou-El-Sood, Heba, 2016. "Are regulatory capital adequacy ratios good indicators of bank failure? Evidence from US banks," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 292-302.
- G. Andrew Karolyi & Alvaro G. Taboada, 2015. "Regulatory Arbitrage and Cross‐Border Bank Acquisitions," Journal of Finance, American Finance Association, vol. 70(6), pages 2395-2450, December.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Clark, Brian & Ebrahim, Alireza, 2022. "Risk shifting and regulatory arbitrage: Evidence from operational risk," Journal of Financial Stability, Elsevier, vol. 58(C).
- Daniela Laas & Caroline Franziska Siegel, 2017. "Basel III Versus Solvency II: An Analysis of Regulatory Consistency Under the New Capital Standards," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(4), pages 1231-1267, December.
- Craig Furfine, 2001. "Bank Portfolio Allocation: The Impact of Capital Requirements, Regulatory Monitoring, and Economic Conditions," Journal of Financial Services Research, Springer;Western Finance Association, vol. 20(1), pages 33-56, September.
- Frame, W. Scott & Mihov, Atanas & Sanz, Leandro, 2020.
"Foreign Investment, Regulatory Arbitrage, and the Risk of U.S. Banking Organizations,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(3), pages 955-988, May.
- W. Scott Frame & Atanas Mihov & Leandro Sanz, 2017. "Foreign Investment, Regulatory Arbitrage, and the Risk of U.S. Banking Organizations," FRB Atlanta Working Paper 2017-2, Federal Reserve Bank of Atlanta.
- Jean-Charles Rochet, 2003. "Réglementation prudentielle et discipline de marché," Revue d'Économie Financière, Programme National Persée, vol. 73(4), pages 201-212.
- Smolyansky, Michael, 2019. "Policy externalities and banking integration," Journal of Financial Economics, Elsevier, vol. 132(3), pages 118-139.
- Decamps, Jean-Paul & Rochet, Jean-Charles & Roger, Benoit, 2004.
"The three pillars of Basel II: optimizing the mix,"
Journal of Financial Intermediation, Elsevier, vol. 13(2), pages 132-155, April.
- Décamps, Jean-Paul & Rochet, Jean-Charles & Roger, Benoît, 2003. "The Three Pillars of Basel II, Optimizing the Mix," IDEI Working Papers 179, Institut d'Économie Industrielle (IDEI), Toulouse.
- Georges Dionne, 2003.
"The Foundationsof Banks' Risk Regulation: A Review of Literature,"
THEMA Working Papers
2003-46, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Georges Dionne, 2003. "The Foundations of Banks' Risk Regulation: a Review of the Literature," Cahiers de recherche 0346, CIRPEE.
- Dionne, Georges, 2004. "The foundations of banks’ risk regulation: A review of the literature," Working Papers 03-8, HEC Montreal, Canada Research Chair in Risk Management.
- Robert Stewart & Murshed Chowdhury & Vaalmikki Arjoon, 2021. "Bank stability and economic growth: trade-offs or opportunities?," Empirical Economics, Springer, vol. 61(2), pages 827-853, August.
- Laeven, Luc & Popov, Alexander, 2023.
"Carbon taxes and the geography of fossil lending,"
Journal of International Economics, Elsevier, vol. 144(C).
- Laeven, Luc & Popov, Alexander, 2021. "Carbon Taxes and the Geography of Fossil Lending," CEPR Discussion Papers 16745, C.E.P.R. Discussion Papers.
- Laeven, Luc & Popov, Alexander, 2022. "Carbon taxes and the geography of fossil lending," Working Paper Series 2762, European Central Bank.
- Martynova, Natalya & Vogel, Ursula, 2022.
"Banks’ complexity-risk nexus and the role of regulation,"
Journal of Banking & Finance, Elsevier, vol. 134(C).
- Martynova, Natalya & Vogel, Ursula, 2021. "Banks' complexity-risk nexus and the role of regulation," Discussion Papers 14/2021, Deutsche Bundesbank.
- Fricke, Daniel & Greppmair, Stefan & Paludkiewicz, Karol, 2022. "You can't always get what you want (where you want it): Cross-border effects of the US money market fund reform," Discussion Papers 03/2022, Deutsche Bundesbank.
- Boyer, Pierre C. & Kempf, Hubert, 2020.
"Regulatory arbitrage and the efficiency of banking regulation,"
Journal of Financial Intermediation, Elsevier, vol. 41(C).
- Pierre C. Boyer & Hubert Kempf, 2016. "Regulatory arbitrage and the efficiency of banking regulation," BAFFI CAREFIN Working Papers 1618, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Pierre C. Boyer & Hubert Kempf, 2017. "Regulatory arbitrage and the efficiency of banking regulation," Working Papers 2017-06, Center for Research in Economics and Statistics.
- Pierre C. Boyer & Hubert Kempf, 2016. "Regulatory Arbitrage and the Efficiency of Banking Regulation," CESifo Working Paper Series 5878, CESifo.
- Gersbach, Hans & Haller, Hans & Papageorgiou, Stylianos, 2018. "Regulatory Competition in Banking: A General Equilibrium Approach," CEPR Discussion Papers 12791, C.E.P.R. Discussion Papers.
- Kevin T. Jacques & Lakshmi Balasubramanyan, 2011. "Risk Weights in Regulatory Capital Standards: Is It Necessary to 'Get It Right'?," NFI Working Papers 2011-WP-23, Indiana State University, Scott College of Business, Networks Financial Institute.
- Rochet, Jean-Charles, 2004.
"Macroeconomic shocks and banking supervision,"
Journal of Financial Stability, Elsevier, vol. 1(1), pages 93-110, September.
- Rochet, Jean-Charles, 2004. "Macroeconomic Shocks and Banking Supervision," IDEI Working Papers 276, Institut d'Économie Industrielle (IDEI), Toulouse.
- Lara Cathcart & Lina El-Jahel & Ravel Jabbour, 2017. "Basel II: an engine without brakes," Journal of Banking Regulation, Palgrave Macmillan, vol. 18(4), pages 359-374, November.
- Vollmer Uwe, 2015. "‚Stairway to Heaven‘ oder ‚Highway to Hell‘? – Eine Einschätzung der Europäischen Bankenunion / ‚Stairway to Heaven‘ or ‚Highway to Hell‘? – An Evaluation of the European Banking Union," ORDO. Jahrbuch für die Ordnung von Wirtschaft und Gesellschaft, De Gruyter, vol. 66(1), pages 147-174, January.
- Annick Pamen Nyola & Alain Sauviat & Amine Tarazi, 2017. "How Does Regulation Affect the Organizational Form of Banks' Presence in Developing and Developed Countries?," Working Papers hal-01369658, HAL.
- Ongena, Steven & Gandré, Pauline & Mariathasan, Mike & Merrouche, Ouarda, 2020.
"Unintended Consequences Of The Global Derivatives Market Reform,"
CEPR Discussion Papers
14802, C.E.P.R. Discussion Papers.
- Pauline Gandré & Mike Mariathasan & Ouarda Merrouche & Steven Ongena, 2021. "Unintended Consequences of the Global Derivatives Market Reform," Working Papers hal-04159726, HAL.
- Pauline Gandré & Mike Mariathasan & Ouarda Merrouche & Steven Ongena, 2021. "Unintended Consequences of the Global Derivatives Market Reform," EconomiX Working Papers 2021-36, University of Paris Nanterre, EconomiX.
- Pauline Gandré & Mike Mariathasan & Ouarda Merrouche & Steven Ongena, 2020. "Unintended Consequences of the Global Derivatives Market Reform," Swiss Finance Institute Research Paper Series 20-02, Swiss Finance Institute.
- Ouarda Merrouche & Pauline Gandré & Mike Mariathasan & Steven Ongena, 2024. "Unintended Consequences of the Global Derivatives Market Reform," Post-Print hal-04376966, HAL.
More about this item
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ISF-2021-09-27 (Islamic Finance)
- NEP-ORE-2021-09-27 (Operations Research)
- NEP-RMG-2021-09-27 (Risk Management)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:col:000122:019593. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Valor Público EAFIT - Centro de estudios e incidencia (email available below). General contact details of provider: https://edirc.repec.org/data/cieafco.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.