Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 27 for “"regulatory capital"”.
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A cost benefit analysis of operational risk quantification methods for regulatory capital
… have been on the back of litigation cases and regulatory fines, some of which originated from the 2008 global financial crisis. As a result it is compulsory for financial institutions to reserve capital for the operational risk exposures inherent in their business activities. Local financial …
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How IFRS 9 has impacted Deferred Tax Assets and Bank Regulatory Capital in South Africa
… percentages of deferred tax assets in their regulatory capital are more likely to fail and have higher credit risk. However, following the application of IFRS 9 from January 2018, there arose an increasing likelihood that deferred tax assets included in bank regulatory capital would increase. …
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Securitisation of mortgage loans, regulatory capital arbitrage and bank stability in South Africa: Econometric and theoretic analyses
… the use of securitisation as an instrument for regulatory arbitrage weakened banks’ soundness and caused, at least partially, the 2007-2008 Global Financial Crisis. In this regard, financial institutions continually took advantage of the loopholes in the Basel regulation, principally that of …
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Risk measurement and management of insurance companies
… approaches with respect to the determination of regulatory capital held by insurance companies. A critical assessment and substantial interpretation of these approaches is performed. Moreover, a number of new approaches is brought forward in order to add a more thorough and clear way of …
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The low-risk anomaly, cost of capital and IFRS 9 implementation impact: An analysis of South African banks
… the impact of IFRS 9 implementation on capital ratios and the cost of capital of listed South African banks. In order to investigate this impact, the presence of the low-risk anomaly had to be determined for South African banks. Methodology This dissertation adapts a methodology that has …
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Improving Market Risk Management with Heuristic Algorithms
Recent changes in the regulatory framework for banking supervision increase the regulatory oversight and minimum capital requirements for financial institutions. In this thesis, we research active portfolio optimisation techniques with heuristic algorithms to manage new regulatory challenges faced …
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Le novità di Basilea III e le implicazioni per le banche italiane
… II threshold. It follows that not only a minimum capital ratio matters, but also its quality does. Many international banking groups that were in line with the minimum capital ratio requirements usually exhibited a high leverage ratio. The need to comply to the capital adequacy requirements …
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The application of IAS 39 reclassifications by global systemically important banks (G-SIBs) since 2008/2009
… reclassifications on the G-SIBs' ROE and total regulatory capital with the aim to determine if G-SIBs reaped any long-term benefits from the reclassifications and whether any traces of earning and capital management exist in the way G-SIBs applied the amendment to IAS 39. To achieve these …
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Fair value accounting in South African banks : financial stability implications
… that links together fair value accounting, bank capital regulation and economic outcomes. The South African case study was further divided into two parts. In the first part, a comparative design was used to investigate in detail how fair value accounting was implemented by two South African banks …
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Essays on banking
… banking consolidation on the borrowers and the regulatory capital requirements for banks. The first chapter analyzes the effect of bank mergers on loan prices, and the welfare implications for borrowers. In particular I test the hypothesis that mergers create efficiency gains which are, in fact, …
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Exposure modelling under change of measure
… an important role in setting economic and regulatory capital levels. For the sake of risk measurement and risk management these exposure measures should be computed under the real-world probability measure. However, due to the similarity of these exposure calculations to those used in …
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Essays on bank capital and balance sheet adjustment in the UK and US, and implications for regulatory policy
… a better understanding of how market and regulatory driven capital targets affect bank behaviour. Such considerations are important to assessing the effects of shocks to banks' capital ratios on their supply of financial intermediation services to the real economy, whether those shocks …
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Stochastic modelling in bank management and optimization of bank asset allocation
… Committee published its proposals for a revised capital adequacy framework(the Basel II Capital Accord) in June 2006. One of the main objectives of this framework is to improve the incentives for state-of-the-art risk management in banking, especially in the area of credit risk in view of Basel …
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Earnings Management and Corporate Governance: An Empirical Study of the Listed Commercial Banks in Cyprus
… could be used to manage earnings and increase regulatory capital. The evidence suggests that when the capital adequacy ratio was low, earnings were managed in order to artificially boost the capital base. The empirical results confirm that regulators perceived banks as being adequately …
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Essays in Quantitative Risk Management for Financial Regulation of Operational Risk Models
… to calculate and set aside loss-absorbing regulatory capital to ensure the solvency of a bank. Mathematical models are typically used by banks to quantify sufficient amounts of capital. In this thesis, we explore areas that advance our knowledge in regulatory risk management. In the first …
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Banking in Lebanon : an empirical investigation of performance, capitalisation and mergers
… of Lebanese banking: Bank Perfonnance, Bank Capital and Bank Mergers. The first chapter tackles the issue of bank perfonnance, with focus on the differences between domestic and foreign banks. We study panel data of almost the entire population of Lebanese banks between 1993 and 2003 to …
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Surrogate Model Assisted Nested Simulation with Applications to Variable Annuity Portfolio Valuation and Hedging
… distribution, the portfolio Greeks, and the regulatory capital requirement with dynamic hedging. The efficiency and the robustness of the algorithm are demonstrated through numerical studies on a number of uniform/non-uniform large synthetic VA portfolios and economics models.
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Bank capital: definition, adequacy and issue announcement effects
… coincident with the announcement of bank capital issues. Potential influences considered include increased regulatory pressure, conflicting regulatory and market views of bank capital adequacy and the relative predictability of security type. Where possible, the dissertation is set in both …
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Risk warehousing within insurance firms and the role of securitization
… face significant frictional costs in raising capital, value-maximising firms will hedge all risks where the spread costs of the hedging instrument are low. This would seem to include most or all economic risks. As for underwriting risks, where hedging spreads are high, the decision will be a …
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Is corporate social responsibility a determinant of the capital structure of global systemically important banks?
… public discussions about the role of bank capital structures in the stability of banking institutions. While it was previously thought that regulatory capital requirements are the sole determinant of bank capital structure, recent empirical studies suggest that, instead, the standard …
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