"Total Assets" versus "Risk Weighted Assets": Does it Matter for MREL Requirements?
Analiżi fil-Fond
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.
Analiżi fil-Fond
Awtur estern
Rym Ayadi and Giovanni Ferri
Dwar dan id-dokument
Tip ta’ pubblikazzjoni
Kelma għat-tiftix
- analiżi finanzjarja
- bank
- DRITT
- dritt ċivili
- FINANZI
- IMPRIŻA U KOMPETIZZJONI
- istituzzjonijiet finanzjarji u kreditu
- maniġment
- metodu ta' evalwazzjoni
- PRODUZZJONI, TEKNOLOĠIJA U RIĊERKA
- rekwiżiti finanzjarji
- riċerka u proprjetà intelletwali
- solvenza finanzjarja
- superviżjoni bankarja
- ġestjoni tar-riskju