ERN: Regulation (European) (Topic)最新文献

{"title":"A Sound Basel III Compliant Framework for Backtesting Credit Exposure Models","authors":"F. Anfuso, Dimitris Karyampas, A. Nawroth","doi":"10.2139/ssrn.2264620","DOIUrl":"https://doi.org/10.2139/ssrn.2264620","url":null,"abstract":"A central component of the Basel III (B3) document is the \"Sound practices for backtesting\", i.e., a summary of strict regulatory guidances on how to validate and backtest Internal Method Models (IMM) for credit exposure. In the present work, we define a complete statistical framework to backtest credit exposure models, highlighting the features of our proposal vs. the new regulatory requirements. The framework contains four main pillars: 1. The risk factor backtesting, i.e. the assessment of the forecasting ability of the Stochastic Differential Equations (SDE) used to describe the dynamics of the single risk factors. 2. The correlations backtesting, i.e. the assessment of the statistical estimators used to describe the cross-asset evolution. 3. The portfolio backtesting, i.e. the assessment of the complete exposure model (:= SDEs correlations pricing) for portfolios that are representative of the firm’s exposure. 4. The computation of the capital buffer, i.e. the extra amount of capital that the firm should hold if the model framework is not adequate (see outcome of the three pillars above). We show with concrete examples in the cases of collateralized and uncollateralized models how to perform distributional tests w.r.t. different risk metrics. We produce discriminatory power analysis for all the tests introduced, providing exact methods to aggregate backtesting results across forecasting horizons. Most importantly, the third and the fourth pillars define a solid quantitative approach to compute capital remedies for potential model deficiencies.","PeriodicalId":382921,"journal":{"name":"ERN: Regulation (European) (Topic)","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123594563","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Crack Cocaine of Gambling? Gambling Machines in the UK","authors":"C. Snowdon","doi":"10.2139/SSRN.2267410","DOIUrl":"https://doi.org/10.2139/SSRN.2267410","url":null,"abstract":"This paper assesses the claims made about gambling machines in British betting shops, in particular ‘fixed-odds betting terminals’. These machines are routinely dubbed ‘the crack cocaine of gambling’ and it is said that players can lose £18,000 in an hour. They are blamed for a rise in problem gambling and it is alleged that Britons lose £42 billion on the machines every year. It is also claimed that betting shops have proliferated as bookmakers scramble to cash in on the popularity of the machines.The ‘crack cocaine of gambling’ label has been attached to virtually every new gambling product since the late-1980s. It is never attributed to any named individual and is akin to anti-gambling folklore. Such rhetoric is used by campaigners to attract media attention.The number of betting shops in Britain began to decline in the late 1960s and reached an all-time low at the turn of the century. Since then, there has been a slight resurgence, with numbers rising by 4.5 per cent between 2000 and 2012. These figures are not consistent with the claim that there has been a ‘dramatic proliferation’ of betting shops. Contrary to popular belief, the bookmaking industry’s gross gambling yield has fallen slightly in recent years.There is some anecdotal evidence that there is ‘clustering’ of betting shops in areas where the four machine limit is insufficient to meet demand. Insofar as this oversupply of betting shops is an issue, it can best be addressed by raising the limit. Existing evidence does not support the claim that fixed-odds betting terminals have led to a nationwide rise in problem gambling, nor do the data suggest that these machines are uniquely ‘addictive’ or seductive.The campaign against virtual gaming machines in betting shops closely resembles previous moral panics about new gambling products. The reliance on anecdotal evidence, well-worn rhetoric and unsubstantiated claims about ‘addiction’ is characteristic of similar panics which were subsequently abandoned when it became clear that the new activity was neither especially pernicious nor particularly contagious.Like other parts of the gambling sector, the bookmaking industry has responded to the market shifting towards virtual gaming. Opponents of fixed-odds betting terminals are aware than a severe reduction in stakes and prizes would reduce consumer appeal and amount to a de facto ban. Over-regulation would push customers to the less regulated online market and would probably lead to a surge in the black market. This would have a detrimental impact on employment in the industry and would significantly reduce tax revenue. Better regulation of the domestic gambling industry should focus on providing greater flexibility for new technology and larger stakes and prizes for venues which are higher up the regulatory pyramid.","PeriodicalId":382921,"journal":{"name":"ERN: Regulation (European) (Topic)","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-04-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126507072","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Financial Stability and Reform Bill 2013","authors":"C. Larkin, S. Barrett","doi":"10.2139/SSRN.2279437","DOIUrl":"https://doi.org/10.2139/SSRN.2279437","url":null,"abstract":"The purposes of this Bill is to create a situation of stability within the Irish banking sector by creating a series of regulatory limitations on the activities of banks via a series of ring-fencing rules and capital requirements. The Bill also looks to expand the capabilities of the Central Bank of Ireland by requesting that it undertake a study to see how a so-called Volcker Rule could be applied to the Irish banking environment.This Bill draws from US and UK models of financial regulatory reform following the Global Financial Crisis, the effects of which are still be felt by national governments.","PeriodicalId":382921,"journal":{"name":"ERN: Regulation (European) (Topic)","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-04-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123090118","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The CESL as a European Brand - Paypalizing European Contract Law","authors":"Martin Fries, J. Stark","doi":"10.2139/ssrn.2246271","DOIUrl":"https://doi.org/10.2139/ssrn.2246271","url":null,"abstract":"According to the Commission, the main political goal behind the Common European Sales Law (CESL) is advancing cross-border trade between EU member states, thereby helping to further establish and strengthen a common market within the EU. The CESL is chosen and even symbolized by an already legendary blue button that consumers have to push in order to opt into the new European law. However, the blue button is more than a mere technicality: It aims at increasing consumer trust in cross-border trade by using the (expectedly) positive signaling effect of the European brand. Thus, if traders know that consumers are more likely to engage in cross-border trade on the basis of the CESL than by relying on a national contract law, offering to contract on this basis will be attractive to them for precisely this reason. If a CESL offer can be expected to increase consumers’ trust in a prospective transaction, traders will be able to use such an offer as a marketing instrument. A similar branding strategy is known from the US online payment service PayPal who has established its “payment trust button” already a decade ago. The present article deals with the question to what extent PayPal’s success story can be transferred to European contract law and what lessons the European legislator can learn from it. Could the CESL with its blue button potentially become a new, PayPal-like mechanism for consumer protection by creating and strengthening consumer trust in cross-border trade?","PeriodicalId":382921,"journal":{"name":"ERN: Regulation (European) (Topic)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-04-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133037385","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Impact de Solvabilit e II sur l' economie r eelle: une approche micro- economique (Solvency II impact on the Real Economy: A Microeconomic Approach)","authors":"M. Frunza","doi":"10.2139/ssrn.2244492","DOIUrl":"https://doi.org/10.2139/ssrn.2244492","url":null,"abstract":"The delay in the implementation of Solvency II from January 2013 to 2015, or 2016, reveals many unanswered questions that regulators have concerning the microeconomic and macroeconomic consequences of the new regulatory framework. At the microeconomic level, adding the market risk in the calculation of regulatory capital should naturally lead the insurers to a reallocation of their assets portfolio. The relocation would involve a partial sale of risky securities (i.e. stocks, bonds high duration, securitization) and their replacement with less risky securities. One of the concerns of public authorities is that this tendency related to insurers’ portfolio reallocation may lead to a fall in equity prices and an increase of long term interest rates, thereby having obviously a very unfavorable impact on economic growth in Europe.","PeriodicalId":382921,"journal":{"name":"ERN: Regulation (European) (Topic)","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-04-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129424036","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Autonomy of Common European Sales Law in Lithuania","authors":"Stasys Drazdauskas","doi":"10.2139/ssrn.2250757","DOIUrl":"https://doi.org/10.2139/ssrn.2250757","url":null,"abstract":"Sį dokumentą lietuvių kalba galima rasti adresu: http://ssrn.com/abstract=2243074 Private law is the area of law in which the resistance to unification in Europe is probably the strongest. Private law codification initiative, which began in 1989, after more than twenty years was recently reduced to optional non binding common sales law draft, which is gradually making its way through the EU institutions’ legislative process. Choice of EU regulation as a form indicates that the willingness to reach objective results is strong enough, but the reasoning in support of this project faces equally strong argument against it. Lithuanian experience expands this discussion in several important respects. Rome I Regulation Article 6.2. deadlock solution is specifically beneficial for smaller countries, where market participants have less bargaining power. In addition, an optional supplementary regulatory framework that the parties could choose, would allow testing existing legal systems by competition. Lithuania's recent reform experience suggests that the draft regulation provides for a smooth change in Europe. Multilingualism, some of the Common European Sales Law solutions, radically different from the Lithuanian national legal provisions will certainly require revision of the existing concepts, but that is not a reason not to try to improve the EU's common private law.","PeriodicalId":382921,"journal":{"name":"ERN: Regulation (European) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130256997","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Country-of-Origin and Mutual Recognition Principles – Vehicles for Regulating Market in a Multi-Level-Governance System","authors":"Janja Hojnik","doi":"10.2139/ssrn.2237875","DOIUrl":"https://doi.org/10.2139/ssrn.2237875","url":null,"abstract":"The author argues that in a democratic legal system internal market may not be regulated without sufficient attention being paid to national autonomy and diversity. In this light the principle of subsidiarity requires a withdrawal from the ideal internal market goal and orientation towards more workable solutions, which take into account that at the present state of integration European citizens primarily direct their legitimacy at their nation states. As the pure host-state approach, based on the principle of non-discrimination, may obstruct free movement of production factors, the author emphasises the importance of the principles of mutual recognition and state of origin. These guarantee the application of only one set of national rules for a specific product or person (hence guaranteeing free movement), while preserving national competences in the market field. As such they should present an ideal model of market regulation. However, these principles enhance the prisoners’ dilemma and horizontal competition between national legal orders. Accordingly, the author concludes that an adequate combination of decentralism and centralism is needed in market law, taking into consideration that the EU is a system of multi-level governance.","PeriodicalId":382921,"journal":{"name":"ERN: Regulation (European) (Topic)","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133208502","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Blurring Boundaries between Sovereign Acts and Commercial Activities: A Functional View on Regulatory Immunity and Immunity from Execution","authors":"Anne van Aaken","doi":"10.1163/9789004251632_011","DOIUrl":"https://doi.org/10.1163/9789004251632_011","url":null,"abstract":"Whereas in the 1980’s many developed countries privatized their state-owned enterprises (SOEs), followed by developing countries after the end of the cold war in 1990, this trend has reversed in the last ten years. First, ever more countries create Sovereign Wealth Funds (SWFs) which engage in all sorts of economic investments and activities. Second, SOEs are again in fashion, partially due to the financial and economic crises in developed countries which led to (partial) nationalization of some failing enterprises. In short: ever more states engage in business activities in one way or the other and the boundaries between state activities and commercial activities become blurred. In this paper, I would like to suggest some criteria where immunity should be granted (and where not) drawing partially on economic theory. While the paper does not give definite answers, it might help to consider some of the issues from a functional point of view and find answer for both of the described problems.","PeriodicalId":382921,"journal":{"name":"ERN: Regulation (European) (Topic)","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129325510","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Financial Stability in an Evolving Regulatory and Supervisory Landscape","authors":"Yin Xiao","doi":"10.5089/9781475529661.001.A001","DOIUrl":"https://doi.org/10.5089/9781475529661.001.A001","url":null,"abstract":"This paper runs qualitative and quantitative analyses of the financial soundness of Danish banks. Helped by a series of Denmark's financial policy initiatives, banks have made progress in improving financial stability. However, vulnerabilities remain. To mitigate risks, banks should continue to build more robust capital and liquidity buffers, and enhance further the transparency of disclosures. The flexibility embedded in EU regulations should be used to design strong prudential policies, treating Basel III and the CRD IV regulations as floors. Crisis prevention and management could be further strengthened by phasing out gradually deferred-amortization mortgage loans and introducing risk-adjusted deposit insurance premia.","PeriodicalId":382921,"journal":{"name":"ERN: Regulation (European) (Topic)","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116859822","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Can Risk Adjustment Prevent Risk Selection in a Competitive Long-Term Care Insurance Market?","authors":"P. Bakx, E. Schut, E. van Doorslaer","doi":"10.2139/ssrn.2202170","DOIUrl":"https://doi.org/10.2139/ssrn.2202170","url":null,"abstract":"When public long-term care (LTC) insurance is provided by insurers, they typically lack incentives for purchasing cost-effective LTC. Providing insurers with appropriate incentives for efficiency without jeopardizing access for high-risk individuals requires, among other things, an adequate system of risk adjustment. While risk adjustment is now widely adopted in health insurance, it is unclear whether adequate risk adjustment is feasible for LTC because of its specific features. We examine the feasibility of risk adjustment for LTC insurance using a rich set of linked nationwide Dutch administrative data. Prior LTC use and demographic information are found to explain much of the variation, while prior health care expenditures are important in reducing predicted losses for subgroups of health care users. Nevertheless, incentives for risk selection against some easily identifiable subgroups persist. Moreover, using prior utilization and expenditure as risk adjusters dilutes incentives for efficiency, but using multiyear data may reduce this disadvantage.","PeriodicalId":382921,"journal":{"name":"ERN: Regulation (European) (Topic)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-01-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115124915","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}