英文标题：
《Diversification, protection of liability holders and regulatory
arbitrage》
---
作者：
Pablo Koch-Medina, Cosimo Munari, Mario Sikic
---
最新提交年份：
2016
---
英文摘要：
Any solvency regime for financial institutions should be aligned with the fundamental objectives of regulation: protecting liability holders and securing the stability of the financial system. The first objective leads to consider surplus-invariant capital adequacy tests, i.e. tests that do not depend on the surplus of a financial institution. We provide a complete characterization of closed, convex, surplus-invariant capital adequacy tests that highlights an inherent tension between surplus-invariance and the desire to give credit for diversification. The second objective leads to requiring consistency of capital adequacy tests across jurisdictions. Of particular importance in this respect are capital adequacy tests that remain invariant under a change of num\\\'{e}raire. We establish an intimate link between surplus- and num\\\'{e}raire invariant tests.
---
中文摘要：
任何金融机构的偿付能力制度都应该与监管的基本目标保持一致：保护负债持有人和确保金融体系的稳定。第一个目标是考虑盈余不变资本充足率测试，即不依赖于金融机构盈余的测试。我们提供了一个封闭的、凸的、盈余不变的资本充足率测试的完整描述，强调了盈余不变和为多样化提供信贷的愿望之间的内在紧张关系。第二个目标要求不同司法管辖区的资本充足率测试保持一致。在这方面尤为重要的是，资本充足率测试在num\\{e}raire变化下保持不变。我们在剩余和num\\{e}raire不变测试之间建立了密切的联系。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
--
一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
--

---
PDF下载：
-->