publication . Preprint . 2013

MULTIPERIOD BANKING SUPERVISION

KARL-THEODOR EISELE; PHILIPPE ARTZNER;
Open Access
  • Published: 01 Jan 2013
Abstract
This paper is based on a general method for multiperiod prudential supervision of companies submitted to hedgeable and non-hedgeable risks. Having treated the case of insurance in an earlier paper, we now consider a quantitative approach to supervision of commercial banks. The various elements under supervision are the bank’s current amount of tradeable assets, the deposit amount, and four flow processes: future trading risk exposures, deposit flows, flows of loan repayments and of deposit remunerations. The approach uses a multiperiod risk assessment supposed not to allow supervisory arbitrage. Coherent and non-coherent examples of such risk assessments are giv...
Subjects
free text keywords: equity capital requirements, hierarchy of supervisor’s interferences, multiperiod risk assessment, optimal trading risk exposures, supervisory margin., jel:G18, jel:G21, jel:G32

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