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

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      <subfield code="a">Laas, Daniela</subfield>
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      <subfield code="a">Basel III versus Solvency II</subfield>
      <subfield code="b">: an analysis of regulatory consistency under the new capital standards</subfield>
      <subfield code="c">Daniela Laas, Caroline Franziska Siegel</subfield>
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      <subfield code="a">This 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. </subfield>
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      <subfield code="a">Solvencia II</subfield>
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      <subfield code="a">Mercado de seguros</subfield>
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      <subfield code="a">Franziska Siegel, Caroline</subfield>
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      <subfield code="w">MAP20077000727</subfield>
      <subfield code="t">The Journal of risk and insurance</subfield>
      <subfield code="d">Nueva York : The American Risk and Insurance Association, 1964-</subfield>
      <subfield code="x">0022-4367</subfield>
      <subfield code="g">04/12/2017 Volumen 84 Número 4 - diciembre 2017 , p. 1231-1267</subfield>