cad a22 4500 316949868 20181103043305.0 cr unu---uuuuu 140620s2014 xx s 000 0 eng 10.5167/uzh-96661 doi (ZORA)oai:www.zora.uzh.ch:96661 330 ddc Moreno Santiago Capital Adequacy Tests and Limited Liability of Financial Institutions [Elektronische Daten] [Santiago Moreno, Pablo Koch-Medina, Cosimo-Andrea Munari] openAccess eu-repo The theory of acceptance sets and their associated risk measures plays a key role in the design of capital adequacy tests. The objective of this paper is to investigate, in the context of bounded financial positions, the class of surplus-invariant acceptance sets. These are characterized by the fact that acceptability does not depend on the positive part, or surplus, of a capital position. We argue that surplus invariance is a reasonable requirement from a regulatory perspective, because it focuses on the interests of liability holders of a financial institution. We provide a dual characterization of surplus-invariant, convex acceptance sets, and show that the combination of surplus invariance and coherence leads to a narrow range of capital adequacy tests, essentially limited to scenario-based tests. Finally, we emphasize the advantages of dealing with surplus-invariant acceptance sets as the primary object rather than directly with risk measures, such as loss-based and excess-invariant risk measures, which have been recently studied by Cont, Deguest & He and by Staum, respectively. Department of Banking and Finance zora Koch-Medina Pablo joint author Munari Cosimo-Andrea joint author https://www.zora.uzh.ch/id/eprint/96661/1/SSRN-id2348590.pdf text/html WWW-Backlink auf das Repository Onlinezugriff via WWW text/html http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2348590 ZORA 1 Working Paper NonPeerReviewed zora ZORA 856 40 https://www.zora.uzh.ch/id/eprint/96661/1/SSRN-id2348590.pdf text/html WWW-Backlink auf das Repository ZORA 856 42 Onlinezugriff via WWW text/html http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2348590 ZORA 100 1- Moreno Santiago ZORA 700 1- Koch-Medina Pablo joint author ZORA 700 1- Munari Cosimo-Andrea joint author BK020053 XK020053 XK020000 ZORA ZORA ZORA Working Paper openAccess