Beyond the Third Pillar of Basel Two: Taking Bond Market Signals Seriously
34
0
0
Texte intégral
(2) Working Paper. Document de Travail. EA 4272. Beyond the Third Pillar of Basel Two: Taking Bond Market Signals Seriously Adrian POP (*) 2009/05. (*) Uniiversity of Nantes (LEMNA). Laboratoire d’Economie et de Management Nantes-Atlantique Université de Nantes Chemin de la Censive du Tertre – BP 52231 44322 Nantes cedex 3 – France www.univ-nantes.fr/iemn-iae/recherche Tél. +33 (0)2 40 14 17 19 – Fax +33 (0)2 40 14 17 49.
(3) Eh|rqg wkh Wklug Sloodu ri Edvho Wzr= Wdnlqj Erqg Pdunhw Vljqdov Vhulrxvo|. Dguldq Srs. Devwudfw1
(4)
(5)
(6)
(7)
(8)
(9)
(10)
(11)
(12)
(13)
(14)
(15)
(16)
(17)
(18)
(19)
(20)
(21)
(22)
(23)
(24)
(25)
(26) !
(27)
(28)
(29)
(30)
(31)
(32)
(33) "
(34) #
(35) $%% &
(36) '
(37)
(38)
(39) '
(40)
(41)
(42)
(43)
(44)
(45)
(46) (
(47)
(48) )
(49)
(50)
(51)
(52)
(53) * +
(54)
(55)
(56)
(57) "
(58) , "
(59)
(60)
(61)
(62)
(63) -
(64) .
(65) / 0/1 22/ 234
(66)
(67)
(68)
(69) 6
(70) ',
(71) 7 -
(72)
(73) 7 *
(74)
(75) 7 .
(76)
(77) "8 , 9$7 9:. WXqlyhuvlw|. ri Qdqwhv +8"-;<,/ Lqvwlwxwh ri Edqnlqj ) Ilqdqfh/ Fkhplq gh od Fhqvlyh gx Whuwuh/ ES 85564/ 77655 Qdqwhv Fhgh{ 6/ Iudqfh> Who1= .6605073474987> id{= .66050734749831 H0pdlo= dguldq1srsCxqly0qdqwhv1iu Dfnqrzohgjhphqwv Wklv sdshu lv edvhg rq p| SkG glvvhuwdwlrq dw wkh Xqlyhuvlw| ri Ruohdqv/ Iudqfh1 Vxjjhvwlrqv iurp wkh phpehuv ri p| SkG frpplwwhh/ Rolylhu gh Edqgw/ Dqqh Odyljqh/ Mhdq0Sdxo Sroolq/ Mhdq0Fkduohv Urfkhw/ dqg Dplqh Wdud}l/ zkhuh yhu| xvhixo lq uhylvlqj wkh sdshu1 L dp dovr lqghewhg wr Vwhidqr Fdld}}d/ Pdun Iodqqhu|/ Sdxo Kdpdodlqhq/ Fkulvwrskh Kxuolq/ Khqul Sdjëv/ Jhrujh Shqqdffkl/ Oduu| Zdoo/ dqg sduwlflsdqwv dw wkh !
(78)
(79) =
(80) uhvhdufk vhplqdu/ >
(81) = .
(82) .
(83)
(84)
(85) / 9 =
(86) .
(87)
(88)
(89) / $ * -
(90) "/ / < -
(91)
(92)
(93) =
(94) " </ dqg 8")?8"-;< uhvhdufk vhplqduv iru xvhixo frpphqwv1 Wkh xvxdo glvfodlphu dssolhv1.
(95) . .
(96)
(97)
(98)
(99)
(100)
(101)
(102)
(103) !" #$%
(104)
(105)
(106) & '
(107)
(108)
(109)
(110)
(111)
(112)
(113)
(114)
(115) . !
(116) .
(117)
(118)
(119) ' #$% ( !" "). #
(120)
(121)
(122) *
(123) *
(124) +
(125)
(126)
(127)
(128)
(129) ,
(130)
(131)
(132) % -. /
(133) , 0*1 *2
(134)
(135) 3
(136)
(137)
(138) (. $ 4
(139) .$4) 5
(140) 67
(141) #$%
(142)
(143) 8 9
(144) ,
(145) #: 2 0 $
(146)
(147)
(148)
(149) .$4 -. ( 20#+.;$ 777)
(150)
(151) .
(152) #
(153) 8
(154) 9
(155)
(156) " <
(157)
(158) 2
(159) =
(160)
(161)
(162)
(163)
(164)
(165) %
(166)
(167)
(168) 2
(169) . $ 4
(170) /
(171)
(172)
(173)
(174)
(175) ( 20#+. ) #
(176) . #
(177) $ % (#$%) - . # =
(178)
(179)
(180) 20#+. (
(181) >* ) 20#+.;$ (777 = 6!*>6) ?@ A
(182)
(183) (777 >B ) 2
(184) (77 ) <
(185)
(186) (776)
(187)
(188)
(189)
(190)
(191)
(192) "
(193)
(194) & (%)
(195)
(196) (%%)
(197)
(198)
(199)
(200)
(201) 3
(202) . (2
(203) ) + (77C) D
(204) ,
(205)
(206) . $ 4
(207)
(208)
(209) .
(210) Eh|rqg wkh Wklug Sloodu ri Edvho Wzr. ".
(211)
(212)
(213)
(214)
(215) /
(216)
(217) (" ) , .
(218)
(219) @
(220) .
(221)
(222)
(223)
(224)
(225) # =
(226)
(227) (
(228)
(229) E ) 4 F
(230)
(231) #
(232)
(233) =
(234) 8
(235)
(236) 9 /
(237)
(238) G <
(239)
(240) = &
(241) F G
(242) (
(243) = / ) #
(244)
(245) @ (
(246) H )
(247)
(248) 8 # 9
(249)
(250) .
(251)
(252)
(253) ? , 6*77 I F
(254)
(255) 8 # 9
(256) ? 2
(257) (77") 5
(258) , (
(259)
(260)
(261)
(262) ) =
(263) #
(264) ?
(265)
(266)
(267) -. F
(268) -. ?
(269)
(270)
(271)
(272) 8J K
(273) $% 9 (2
(274) 77" ) %
(275) -.
(276)
(277) ( 20#+. L 20#+.;$ 777) ?
(278)
(279)
(280)
(281) ?
(282) =
(283) =
(284) ,
(285)
(286) .
(287)
(288)
(289)
(290)
(291)
(292)
(293) @ . "
(294)
(295) . C
(296)
(297) .
(298)
(299) . 6 #
(300)
(301) . >
(302) .
(303) C. Eh|rqg wkh Wklug Sloodu ri Edvho Wzr. soft configurations Confirming the available information to supervisor. strong configurations Better resources allocation. Improving the off-site models. Setting risk-adjusted deposit insurance premia. Triggering Prompt Corrective Actions. # & M /
(304)
(305)
(306)
(307)
(308) . .
(309)
(310)
(311) .
(312)
(313)
(314) : /
(315)
(316) C I :
(317) / (
(318) I ) I
(319) =
(320) @
(321)
(322)
(323)
(324)
(325) =
(326)
(327) @ /
(328)
(329)
(330) / ( # ) %
(331)
(332) /
(333)
(334) &
(335)
(336) .
(337)
(338)
(339) =
(340)
(341)
(342) / : F
(343)
(344)
(345)
(346)
(347) " =
(348)
(349) =
(350) N = :
(351)
(352) ( $D
(353) 77 )
(354) ( )
(355)
(356) /
(357)
(358) 2 " =
(359) &"
(360)
(361)
(362)
(363)
(364)
(365)
(366)
(367)
(368) .
(369) ( #
(370) 77 ) /
(371)
(372)
(373)
(374) C. 5 # (' % (
(375) ) 8 9
(376)
(377) = ( )
(378) 777 CC* C>) * * . *
(379) /
(380)
(381)
(382)
(383) F .
(384) Eh|rqg wkh Wklug Sloodu ri Edvho Wzr. 6.
(385)
(386) 4
(387)
(388) / (
(389) L ?@ A
(390)
(391) 777) ,
(392)
(393) &
(394)
(395) +
(396)
(397)
(398)
(399) . ( + ) <
(400)
(401)
(402)
(403)
(404)
(405)
(406)
(407) < /
(408) =
(409) H
(410)
(411)
(412)
(413)
(414) %
(415)
(416)
(417)
(418) ( !!) 0 . ( 7) #
(419) . ( >) ?@ A
(420)
(421) (77 77) 5 . (77 ) O
(422) (77) ,
(423) (77C) . (77C) N
(424) (776 77>) ?@
(425) (77!) = ( ) .
(426) G : /
(427) +
(428)
(429) -. 6 +
(430)
(431)
(432) ?
(433)
(434)
(435) ? -. 2 4P ( 6)
(436) 5 : ? /
(437)
(438) <
(439)
(440) &
(441)
(442)
(443) !
(444)
(445)
(446) (O ") . (77") /
(447) "
(448)
(449) ? : . / ( )
(450)
(451) @ /
(452) L> ()
(453) F /
(454) L (") 7 F
(455)
(456) @
(457) 0
(458) (77>) .
(459) ?
(460) 6.
(461)
(462) / @ -. % G
(463)
(464) . 20#+. ( ) #
(465) ( ! 77 ) ?@ A
(466)
(467) (777) #
(468) 3
(469) (77C)
(470)
(471) > /
(472) = ( ) () L ( ) /
(473) . =
(474)
(475) L ( ) .
(476) -.
(477) =
(478)
(479) .
(480) Eh|rqg wkh Wklug Sloodu ri Edvho Wzr. >.
(481)
(482)
(483)
(484) 8
(485) 9 (
(486) 89) # *%2 %
(487)
(488) @ .
(489)
(490)
(491)
(492)
(493)
(494)
(495)
(496) I ( )
(497) "
(498) >* ! ?
(499)
(500)
(501) . (77") < . =
(502)
(503)
(504)
(505) B
(506)
(507)
(508) ( )
(509)
(510)
(511) ! 5 ,
(512) (77C) , < (77C)
(513)
(514) & /
(515)
(516) < ( " ) F
(517)
(518)
(519)
(520)
(521)
(522) @ %
(523)
(524) @
(525) =
(526)
(527) %
(528) ?@
(529) (77!) G
(530) 8 9
(531)
(532)
(533) . 2
(534)
(535)
(536)
(537)
(538)
(539) .
(540) =
(541) =
(542) % .
(543) G * . (77") *
(544)
(545)
(546)
(547)
(548)
(549)
(550)
(551) B. <
(552)
(553)
(554)
(555)
(556) ( . 77 C *67) 2
(557)
(558)
(559) ! I
(560) ? 6 L
(561) 76 ( ) = ( 2%. 77"L . 77 ) .
(562) 4 (77>) 2
(563) -. , ,
(564) (77C) /
(565)
(566)
(567)
(568) .
(569) Eh|rqg wkh Wklug Sloodu ri Edvho Wzr. B. 5 . (77 )
(570)
(571) 8 J K 9 ( > ) % . (77")
(572) ( )
(573)
(574)
(575)
(576)
(577) 2
(578) ( ) . (77")
(579)
(580)
(581) .$4
(582) %
(583)
(584) .
(585)
(586)
(587)
(588) .$4 <
(589)
(590) H
(591) .$4
(592)
(593) ? 7 + ?
(594)
(595) /
(596)
(597)
(598)
(599) ( 4 2
(600) Q 77"L ?2 77CL 2
(601) #. 77>) I
(602)
(603)
(604)
(605) . . H ?
(606) I
(607) & + , - ,%
(608) A
(609)
(610) /= 8
(611) 9 77 ? (
(612) C C77 ) $
(613) ,
(614)
(615)
(616) #
(617)
(618) O
(619) (77)
(620) ,
(621) /
(622)
(623)
(624)
(625) & ( )
(626)
(627) L () / (
(628)
(629)
(630) ) L (") /= L (C) ,
(631) L (6) $ " 77 .
(632)
(633) 8
(634)
(635)
(636) 9 ( ) /= F / (
(637) O
(638) 77) #
(639) .
(640)
(641) .
(642) .
(643)
(644) / F .
(645)
(646) .
(647)
(648) ( !!) #
(649) . ( >) 7. ? -.
(650) =
(651) .$4
(652)
(653) %
(654)
(655) (77>). # 8
(656)
(657) 9 .$4
(658)
(659) -. .
(660) Eh|rqg wkh Wklug Sloodu ri Edvho Wzr. !. %
(661)
(662) /
(663)
(664)
(665)
(666) () 6 ( ) ( )
(667) ( ,
(668) ) () # B7
(669) "
(670)
(671) $ " 6 77 I /
(672) . (
(673) / ) ,% 2
(674)
(675)
(676) ,
(677)
(678)
(679)
(680) 6 ( ) % /
(681)
(682)
(683) , #
(684) . ( > !" ) O
(685) (77 6! ) . . % : @ G
(686)
(687)
(688) /
(689)
(690) % = 8 # 9 =
(691)
(692) & <& ' .
(693) '. 2
(694) /
(695) < %
(696)
(697) 8 # 9
(698) @
(699) ? % :
(700)
(701) : = ( 2
(702) #
(703) 77 /
(704) /
(705) ) I F
(706)
(707)
(708)
(709)
(710) ? #
(711)
(712) . (77") #
(713) . ( >)
(714)
(715)
(716)
(717)
(718) & .4+? $lw @ +lw lw lw , . lw @ 4 :3 @ 4<<8 5335. ( ). .4+? $lw @ @
(719)
(720) . L lw @ L lw @ . L.
(721) Eh|rqg wkh Wklug Sloodu ri Edvho Wzr. lw @
(722)
(723)
(724)
(725) @ .4+? $lw
(726) + ,
(727) =
(728) . .4+? $E
(729) & .4+? $lw @ . lw .. N S n. n nlw .. M S m.
(730) m mlw . lw. ().
(731)
(732)
(733)
(734) .
(735) A (O
(736) 77L . 77" )
(737)
(738) %
(739)
(740)
(741)
(742)
(743) %
(744)
(745)
(746)
(747) (
(748) I 2 3 # 2-3$. 2I21 0 )
(749)
(750)
(751) (
(752) . )
(753)
(754) 6 77 "> C
(755)
(756) #
(757)
(758) @
(759) /
(760) .4+? $lw (= )
(761) , .4+? $
(762)
(763)
(764)
(765)
(766)
(767)
(768) (7>R )
(769) , ( 6* B) ! ( R )
(770)
(771) =
(772) .4+? $
(773)
(774) .4+? $
(775)
(776) 7"6R 6 R 77
(777) ( )
(778)
(779) =
(780)
(781)
(782) .
(783)
(784) ( !!) 0 . ( 7) #
(785) . ( >) = ( )
(786)
(787) .4+? $ < O
(788) (77)
(789) , .4+? $
(790) @ (0 # 0 %
(791) 3
(792) . ,
(793) - N - .) . . ?
(794) /
(795)
(796)
(797) = "
(798)
(799)
(800)
(801) #
(802) L
(803) :
(804) %
(805) ( ,
(806) ) 8 9 8 9 ( =E203)
(807)
(808) < (1) /
(809)
(810)
(811)
(812) C .
(813)
(814) .
(815)
(816)
(817) /
(818)
(819) -.
(820)
(821) ? .
(822) Eh|rqg wkh Wklug Sloodu ri Edvho Wzr. 7. !
(823) +
(824) !
(825) - . ? ( < N 77 L . 77 ) Wdeoh 4 derxw khuh .4+? $
(826) (
(827) ";C)
(828)
(829)
(830) .
(831) ? #
(832) 0 #
(833) (76 R 76 R 7B6R
(834) ) ? (7!BR)
(835) ,
(836) =
(837)
(838)
(839)
(840) .
(841) -N . %
(842) . = ? . (77")
(843) / 0 E-N /
(844)
(845) E ? Wdeoh 5 derxw khuh (lw )
(846) /
(847) =
(848)
(849) 6 2 /
(850)
(851)
(852) (. 4: 5 : # *%2 )
(853)
(854)
(855)
(856) .
(857) 4
(858) H
(859)
(860)
(861) / # @
(862)
(863)
(864) .
(865) =
(866)
(867)
(868)
(869) #
(870)
(871) .45#%lw
(872)
(873)
(874)
(875)
(876)
(877) .4+? $ G 8 .
(878) 9
(879) F (
(880) )
(881) 0 (B SE ) ? ("! *E ") 5
(882) .4+? $ .45#% . /
(883) (
Documents relatifs
confusion between the aim of the cognitive revolution (i.e. rehabilitating the study of mind) and one of its powerfool tool (computer simulation). This confusion, along with
L’archive ouverte pluridisciplinaire HAL, est destinée au dépôt et à la diffusion de documents scientifiques de niveau recherche, publiés ou non, émanant des
To do this, first, we base the maturity definition of customer dimension and related maturity level descriptions in the context of PLM on current literature on maturity model
And we need to be able to notice in order to advance in the elaboration of new (or renewed) operators that are intelligible to actors wrapped in situations and that can help
2 Board Of Governors Of The Federal Reserve System (BGFRS).. In the field of market discipline, a large part is dedicated to mandatory subordinated debt
However, in both cases from a comparison between the differences in mean-square amplitudes of vibration along the bond of hydrogen (or deuterium) and fluorine as
We study the behavior of the critical price of an American put option near maturity in the jump diffusion model when the underlying stock pays dividends at a continuous rate and
Significant correlation between BLUP of genotype effect on tree Yield and Number of fruits and Fruit set at GU scale. A common genetic control between Fruit set
