Header

UZH-Logo

Maintenance Infos

Diversification, protection of liability holders and regulatory arbitrage


Koch-Medina, Pablo; Munari, Cosimo-Andrea; Sikic, Mario (2015). Diversification, protection of liability holders and regulatory arbitrage. arXiv 1502.03252, University of Zurich.

Abstract

Any solvency regime for financial institutions should be aligned with the two fundamental objectives of regulation: protecting liability holders and securing the stability of the financial system. From these objectives wederive two normative requirements for capital adequacy tests, called surplus and numeraire invariance, respectively. We characterize capital adequacy tests that satisfy surplus and numeraire invariance, establish anintimate link between these requirements, and highlight aninherent tension between the ability to meet them and the desire to give credit for diversification.

Abstract

Any solvency regime for financial institutions should be aligned with the two fundamental objectives of regulation: protecting liability holders and securing the stability of the financial system. From these objectives wederive two normative requirements for capital adequacy tests, called surplus and numeraire invariance, respectively. We characterize capital adequacy tests that satisfy surplus and numeraire invariance, establish anintimate link between these requirements, and highlight aninherent tension between the ability to meet them and the desire to give credit for diversification.

Statistics

Downloads

59 downloads since deposited on 01 Mar 2016
25 downloads since 12 months
Detailed statistics

Additional indexing

Item Type:Working Paper
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Language:English
Date:29 June 2015
Deposited On:01 Mar 2016 07:58
Last Modified:08 Dec 2017 19:11
Series Name:arXiv
Number of Pages:18
Free access at:Related URL. An embargo period may apply.
Related URLs:https://www.researchgate.net/publication/272194541_Diversification_protection_of_liability_holders_and_regulatory_arbitrage (Author)
Other Identification Number:merlin-id:12494

Download

Download PDF  'Diversification, protection of liability holders and regulatory arbitrage'.
Preview
Content: Published Version
Filetype: PDF
Size: 190kB