Vanja Vukojevic, Leo Gschwind, Christian Vogler, Philippe Demougin, Dominique J-F de Quervain, Andreas Papassotiropoulos* and Attila Stetak* Division of Molecular Neuroscience, Department of Psychology, University of Basel, Basel, Switzerland, Department of Biozentrum, Life Sciences Training Facility, University of Basel, Basel, Switzerland, Division of Cognitive Neuroscience, Department of Psy...

We analyze the effects of prudential regulation on short-term interest rates. The European Market Infrastructure Regulation (EMIR) induces clearing houses (CCPs) to supply large amounts cash in reverse repurchase agreements (repos). Basel III, contrast, disincentivizes borrowing demand by tightening banks’ balance sheet constraints. Using unique regulatory data CCP investment activity and repo ...

The global financial crisis highlighted the importance of ensuring that the financial system has adequate liquidity to withstand adverse circumstances. The funding pressures that began in 2007 underlined the acute deficiencies in the liquidity-risk-management practices of some banks, and the severity of the ensuing crisis required massive public sector support to stem the liquidity spiral and m...

This paper proposes a new regulatory approach that implements capital requirements contingent on managerial compensation. We argue that excessive risk taking in the financial sector originates from the shareholder moral hazard created by government guarantees rather than from corporate governance failures within banks. The idea of the proposed regulation is to utilize the compensation scheme to...

This paper deals with asymptotically efficient estimation in exchangeable nonlinear dynamic panel models with common unobservable factor. These models are especially relevant for applications to large portfolios of credits, corporate bonds, or life insurance contracts, and are recommended in the current regulation in Finance (Basel II and Basel III) and Insurance (Solvency II). The specificatio...

Banking supervision and regulation by the Hong Kong Monetary Authority (HKMA) remain strong. This assessment confirms 2014 Basel Core Principles that HKMA achieves a high level of compliance with BCPs. The III framework (and related guidance) domestic cross-border cooperation arrangements are firmly in place. actively contributes to development implementation relevant international standards. U...

In Basel III, the credit valuation adjustment (CVA) was given, and it discussed that a bank covers mark-to-market losses for expected counterparty risk with CVA capital charge. The purpose of this study is threefold. Using logistic distribution, shown how exposure can be derived an interest rate swap. Secondly, measure VaR contributed under distribution. Thirdly, generalizations CVaR are given ...