Publication: Capital adequacy tests and limited liability of financial institutions
Capital adequacy tests and limited liability of financial institutions
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Koch-Medina, P., Moreno-Bromberg, S., & Munari, C. (2015). Capital adequacy tests and limited liability of financial institutions. Journal of Banking and Finance, 51, 93–102. https://doi.org/10.1016/j.jbankfin.2014.11.002
Abstract
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Abstract
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
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- Moreno-Bromberg, Santiago
- Munari, Cosimo
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Koch-Medina, P., Moreno-Bromberg, S., & Munari, C. (2015). Capital adequacy tests and limited liability of financial institutions. Journal of Banking and Finance, 51, 93–102. https://doi.org/10.1016/j.jbankfin.2014.11.002