Subject: equity capital requirements, hierarchy of supervisor’s interferences, multiperiod risk assessment, optimal trading risk exposures, supervisory margin.
jel: jel:G21 | jel:G32 | jel:G18
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 ban... View more
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