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首页> 外文期刊>Journal of Risk and Financial Management >Solvency Regulation—An Assessment of Basel III for Banks and of Planned Solvency III for Insurers
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Solvency Regulation—An Assessment of Basel III for Banks and of Planned Solvency III for Insurers

机译：偿付能力监管 - 对保险公司的银行和计划偿付能力III的巴塞尔三世的评估

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Basel III, regulating the solvency of banks, is to be fully implemented by 2027 while Solvency III directed at insurers is being prepared. In view of past experience, it will be closely modelled after Basel III. This raises two questions. (i) Will Basel III and Solvency III be more successful than their predecessors? (ii) Is it appropriate to continue regulating the solvency of banks and insurers in the same way? The first question is motivated by an earlier finding that Basel I and II risked inducing more rather than less risk-taking by banks, which also holds for Solvency I and II w.r.t. insurers. The methodology applied was to determine the slope of an endogenous perceived efficiency frontier (EPEF) in (μ^,σ^)-space derived from banks’ and insurers’ optimal adjustment to exogenous changes, in expected returns dμˉ and volatility dσˉ on the capital market. Both Basel I and II and Solvency I and II neglected the impact of these developments on banks’ and insurers’ EPEF. This neglect had the effect of steepening the EPEF, causing senior management to opt for an increased rather than reduced value of σ^, and hence a lower solvency level. This issue is resolved by Basel III (Principle 5), which requires banks to take developments in the capital market into account in the formulation of their business strategies designed to ensure solvency. In combination with increased capital requirements, this is shown to result in a reduced slope of their EPEF and hence a reduced risk exposure. However, planned Solvency III may cause the EPEF of highly capitalized insurance companies to become steeper, with a concomitant decrease in their risk-taking and an increase of their solvency level. The second question, concerning the appropriateness of the uniformity of solvency regulation directed at banks and insurers, arises because the parameters determining the slope of the respective EPEF are found to crucially differ. Therefore, the uniformity of Basel and Solvency norms creates the risk of a mistaken regulatory focus.
机译：巴塞尔III规范银行的偿付能力，将通过2027年完全实施，而在制定保险公司的偿付能力III III。鉴于过去的经验，它将在巴塞尔III后密切设计。这提出了两个问题。 （i）将Basel III和偿付能力III比他们的前辈更成功吗？ （ii）是否以同样的方式继续规范银行和保险公司的偿付能力？第一个问题是初步发现巴塞尔I和II的冒险诱导诱导越来越小的银行的风险，这也持有偿付能力I和II W.R.T.保险公司。应用的方法是确定内源性感知效率前沿（EPEF）的斜率（μ^，σ^） - 从银行和保险公司的最佳调整对外源变化的最佳变化，在资本上的预期返回和波动率DΣˉ中市场。 Basel I和II和Solvency I和II都忽略了这些发展对银行和保险公司的EPEF的影响。这种忽视具有陡峭的EPEF的效果，导致高级管理层选择增加而不是降低σ^，因此偿付能力水平较低。该问题由巴塞尔III（原则5）得到解决，这需要银行在制定其旨在确保偿付能力的业务战略方面考虑到资本市场的发展。结合资本要求增加，这被证明导致其EPEF的斜率降低，因此降低风险暴露。然而，计划的偿付能力III可能导致高度资本化的保险公司EPEF变得陡峭，伴随着其风险降低，增加了他们的偿付能力水平。关于在银行和保险公司的偿付能力调节均匀性的适当性的第二个问题是因为确定各自EPEC的斜率的参数被发现至关重要。因此，巴塞尔和偿付能力规范的均匀性产生了错误的监管重点的风险。

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