多样化、保护负债持有人和监管套利
Diversification, protection of liability holders and regulatory arbitrage
摘要：
金融机构的任何偿付能力制度都应符合监管的基本目标：保护负债持有人和确保金融体系的稳定。第一个目标导致考虑盈余不变资本充足率测试，即不依赖于金融机构盈余的测试。我们提供了一个完整的表征封闭的，凸的，盈余不变的资本充足率测试，突出了盈余不变性和多样化信贷的愿望之间的内在紧张关系。第二个目标是要求各管辖区的资本充足率测试保持一致。在这方面特别重要的是资本充足率测试，它在数字变化的情况下保持不变。我们建立了一个密切的联系盈余和numéraire不变的测试。
英文摘要：
Any solvency regime for financial institutions should be aligned with the fundamental objectives of regulation: protecting liability holders and securing the stability of the financial system. The first objective leads to consider surplus-invariant capital adequacy tests, i.e. tests that do not depend on the surplus of a financial institution. We provide a complete characterization of closed, convex, surplus-invariant capital adequacy tests that highlights an inherent tension between surplus-invariance and the desire to give credit for diversification. The second objective leads to requiring consistency of capital adequacy tests across jurisdictions. Of particular importance in this respect are capital adequacy tests that remain invariant under a change of numéraire. We establish an intimate link between surplus- and numéraire invariant tests.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
