دانلود مقاله ISI انگلیسی شماره 80480
ترجمه فارسی عنوان مقاله

آزمون کفایت سرمایه و با مسئولیت محدود موسسات مالی

عنوان انگلیسی
Capital adequacy tests and limited liability of financial institutions
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
80480 2015 10 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Banking & Finance, Volume 51, February 2015, Pages 93–102

ترجمه کلمات کلیدی
تغییر ناپذیری مازاد؛ کفایت سرمایه؛ با مسئولیت محدود - اقدامات ریسک
کلمات کلیدی انگلیسی
Surplus invariance; Capital adequacy; Limited liability; Risk measuresC60; G11; G22
پیش نمایش مقاله
پیش نمایش مقاله  آزمون کفایت سرمایه و با مسئولیت محدود موسسات مالی

چکیده انگلیسی

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 detailed analysis of surplus-invariant acceptance sets and their associated risk measures and we discuss the link with loss-based and excess-invariant risk measures, recently studied by Cont et al. (2013) and by Staum (2013), respectively.