Basel III Versus Solvency II: An Analysis of Regulatory Consistency Under the New Capital Standards

Laas Daniela; Siegel Caroline Franziska

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Basel III Versus Solvency II: An Analysis of Regulatory Consistency Under the New Capital Standards

机译：巴塞尔协议III与偿付能力II：新资本标准下的监管一致性分析

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This article provides a critical analysis of the consistency of the standard approaches for market and credit risks under SolvencyII and the current and forthcoming BaselIII standards. The comparability is assessed both theoretically via a detailed comparison of the capital standards and in a numerical analysis that contrasts the capital charges for a stylized portfolio. Our examination reveals substantial discrepancies in the design of the frameworks. These lead to vastly differing capital requirements for the same risks. Moreover, the analysis indicates higher charges for banks than insurers, especially under the proposed new BaselIII standard approaches.

机译：本文对在SolvencyII下以及当前和即将推出的BaselIII标准下市场和信用风险的标准方法的一致性进行了严格的分析。从理论上通过对资本标准的详细比较，以及在对程式化投资组合的资本费用进行对比的数值分析中，对可比性进行评估。我们的检查揭示了框架设计中的重大差异。这些导致相同风险的资本要求差异很大。此外，分析表明，与保险公司相比，银行的收费更高，尤其是在拟议的新巴塞尔协议III标准方法下。

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《The journal of risk and insurance》 |2017年第4期|1231-1267|共37页
作者
Laas Daniela; Siegel Caroline Franziska;
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Univ St Gallen, Inst Insurance Econ, Tannenstr 19, CH-9000 St Gallen, Switzerland;

Univ St Gallen, Inst Insurance Econ, Tannenstr 19, CH-9000 St Gallen, Switzerland;

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Basel III Versus Solvency II: An Analysis of Regulatory Consistency Under the New Capital Standards

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