Basel III versus Solvency II : an analysis of regulatory consistency under the new capital standards

Imagen del registro
Registro MARC
Tag12Valor
LDR  00000cab a2200000 4500
001  MAP20180000225
003  MAP
005  20180111134239.0
008  180109e20171204esp|||p |0|||b|spa d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎219
100  ‎$0‎MAPA20180000133‎$a‎Laas, Daniela
24510‎$a‎Basel III versus Solvency II‎$b‎: an analysis of regulatory consistency under the new capital standards‎$c‎Daniela Laas, Caroline Franziska Siegel
520  ‎$a‎This article provides a critical analysis of the consistency of the standard approaches for market and credit risks under Solvency II and the current and forthcoming Basel III standards. The comparability is assessed both theoretically via a detailed comparison of the capital standards and in a numerical analysis that contrasts the capital charges for a stylized portfolio. Our examination reveals substantial discrepancies in the design of the frameworks. These lead to vastly differing capital requirements for the same risks. Moreover, the analysis indicates higher charges for banks than insurers, especially under the proposed new Basel III standard approaches.
650 4‎$0‎MAPA20080564254‎$a‎Solvencia II
650 4‎$0‎MAPA20080586294‎$a‎Mercado de seguros
7001 ‎$0‎MAPA20180000331‎$a‎Franziska Siegel, Caroline
7730 ‎$w‎MAP20077000727‎$t‎The Journal of risk and insurance‎$d‎Nueva York : The American Risk and Insurance Association, 1964-‎$x‎0022-4367‎$g‎04/12/2017 Volumen 84 Número 4 - diciembre 2017 , p. 1231-1267