"Total Assets" versus "Risk Weighted Assets": Does it Matter for MREL Requirements?
Grinnanailís
04-07-2016
Using a comprehensive sample of European banks by business model, ownership structure and systemic footprint, we calculate MREL requirements based on three hypotheses: i) 18% of RWA; ii) 6.75% of LRE; iii) EBA- RTS. The maximum of i) and ii) TLAC prescription – reveals different requirements across business models/ownership structures not in favour of traditional banking. Variations are reduced somewhat with EBA RTS and an 8% floor. Shocking banks in respect of tail risk events suggests that currently envisaged MREL levels might be insufficient for a smooth resolution for banks.
Grinnanailís
Údar seachtarach
Rym Ayadi and Giovanni Ferri
Maidir leis an doiciméad seo
Saghas foilseacháin
Eochairfhocal
- AIRGEADAS
- anailís airgeadais
- bainistíocht
- bainistíocht riosca
- banc
- ceanglais airgeadais
- DLÍ
- dlí sibhialta
- GNÓ AGUS IOMAÍOCHT
- institiúidí airgeadais agus creidmheas
- maoirseacht baincéireachta
- modh meastóireachta
- sócmhainneacht airgeadais
- taighde agus maoin intleachtúil
- TÁIRGEADH, TEICNEOLAÍOCHT AGUS TAIGHDE