Publication: Diversification, protection of liability holders and regulatory arbitrage
Diversification, protection of liability holders and regulatory arbitrage
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Koch-Medina, P., Munari, C., & Šikić, M. (2017). Diversification, protection of liability holders and regulatory arbitrage. Mathematics and Financial Economics, 11, 63–83. https://doi.org/10.1007/s11579-016-0171-y
Abstract
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Any solvency regime for financial institutions should be aligned with the fundamental objectives of regulation: protecting liability holders and securing the stability of the financial system. The first objective leads to consider surplus-invariant capital adequacy tests, i.e. tests that do not depend on the surplus of a financial institution. We provide a complete characterization of closed, convex, surplus-invariant capital adequacy tests that highlights an inherent tension between surplus-invariance and the desire to give credit fo
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- Munari, Cosimo
- Šikić, Mario
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Koch-Medina, P., Munari, C., & Šikić, M. (2017). Diversification, protection of liability holders and regulatory arbitrage. Mathematics and Financial Economics, 11, 63–83. https://doi.org/10.1007/s11579-016-0171-y
