Regulating Systemic Risk of Financial Institutions

1. Auflage 2011
ISBN: 978-3-8288-2783-7
Verlag: Tectum Verlag

Buch, Englisch, 118 Seiten, broschiert, Format (B × H): 149 mm x 211 mm, Gewicht: 189 g

The financial crisis 2007-2009 clearly demonstrates the necessity to implement regulations for systemically important financial institutions to achieve overall financial stability. Basel III gains center stage in this process. The new regulations affect all market participants – regardless of size and business model. Thus, it is essential for financial institutions to face the upcoming challenges and seek for appropriate and stabilizing responses.

Stefan Schwerter outlines current theoretical issues of systemic risk and ist regulations. These considerations are applied for an explanation and critical assessment of the new Basel III framework. The reader gets wide impressions as well as a detailed analysis of theoretical principles, the Basel III framework and the German ”Restructuring Law”. Based on the insights of this thesis, financial institutions are well-prepared to initiate group and bank-specific processes of change to meet new regulatory requirements and contribute to positive developments of the financial sector.

Autoren/Hrsg.

Schwerter, Stefan

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft Management Risikomanagement
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Bankwirtschaft
• Wirtschaftswissenschaften Betriebswirtschaft Management Systemisches Management
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines

Inhaltsverzeichnis

List of Figures and Tables

List of Abbreviations

1. Introduction

2. Related Literature

3. Systemic Risk of Financial Institutions

3.1 Emergence and Propagation of Systemic Risk

3.1.1 Systemic Risk and the Financial System

3.1.2 Derivation of Systemic Risk Factors

3.1.3 The Cross-Sectional Dimension: Propagation Mechanism

3.1.4 The Time Dimension: Procyclicality

3.2 Quantification of Systemic Risk

3.2.1 Measuring Systemic Risk

3.2.2 Pricing Systemic Risk

3.3 Systemic Liquidity Risk

3.4 Conclusion

4. A New Regulatory Framework to Avoid Systemic Risk

4.1 Undesirable Developments in Financial Regulation

4.1.1 Current Trade-Offs in the Regulatory Framework

4.1.2 The Problematic Issue of Fair Value Accounting

4.1.3 Lessons Learnt from Basel II

4.1.4 Basel II and the Systemic Risk Factors

4.2 New Components in Future Regulation to Avoid Systemic Risk

4.2.1 The Future Role of Incentives

4.2.2 Macroprudential Regulation and International Coordination

4.3 Conclusion

5. An Evaluation of Regulator´s Latest Response

5.1 Regulatory Proposals for Basel III

5.1.1 Overview and Statements on Current Proposals

5.1.2 Examination of the Impact Assessment

5.1.3 The US and European Stress Test

5.2 An Evaluation of Basel III

5.2.1 An „Incentive-Based“ Investigation of Basel III

5.2.2 Basel III and the Mitigation of Basel II´s Drawbacks

5.2.3 Basel III and the Systemic Risk Factors

5.2.4 A Critical Statement on Basel III

5.3 Conclusion

6. Results and Further Prospects

Appendix

Appendix I: Broad Outline of Actual Basel III Framework

Appendix II: Results of the Committee´s QIS

Appendix III: Design and Results of the US and European Stress Test

Bibliography