Purpose:The purpose is to investigate the adequacy of the Basel Accords to fulfill the underlying ideas of reducing risk and stabilizing the financial sector, or if it allows banks to use regulatory arbitrage to maintain a desired productive efficiency- and risk level. Methodology:A two-step analysis is constructed where each bank’s efficiency is first estimated, followed by a panel data regression on the efficiency-score and on a proxy for bank risk.  Conclusion:We found evidence supporting that the third Basel Accord have been more effective, by a reduced risk as a consequence of both an increased capital adequacy ratio and the implementation. However, we cannot confirm that the capital requirements inhibit bank efficiency, but there is evidence of an impaired efficiency since the implementation of the third accord, suggesting that the supervision, for instance, has a weakening effect on efficiency. Moreover, there are also implication of the strengthened capital requirements, in terms of quantity and quality of capital, more efficiently fulfilling the accords purpose of reducing risk.

Purpose: The purpose of this study is to increase the understanding of how a bank’s features and internal factors have affected its choice of method in calculating the capital requirement. Theoretical and Empirical Method: The research strategy of this study has been of a qualitative nature with a deductive approach. The choice of method was depth interviews with respondents from a targeted sample of Swedish banks. These respondents were chosen based on the knowledge they possess as key employees in the capital requirement process and their involvement in choosing their banks’ method for calculating the capital requirement. The interviews were semi-structured, with open questions that allowed a dialogue with the respondents in which they could express their opinions and knowledge regarding the factors affecting their banks’ choice of method. Theoretical Approach: The study is based on the new institutional economics theory of how institutions affect organizational behavior. It’s also based on earlier research within the regulation Basel II by, among others, Hakenes and Schabel (2011), Rime (2005) and Wahlström (2009). Conclusions: The results of this study show that banks have identified different factors that affect their choice of calculation method for the capital requirement. The choice the banks are facing is to keep the standardized method, develop an advanced internal based method, create partnerships with other banks or focus on alternative clientele portfolios. The two factors that were considered to be have the greatest significant for the choice of calculation method were resources associated with the implementation of the IRB approach models and how the banks’ clientele portfolio was designed. How these were distributed and to what extent they influenced the choice was highly individual for the chosen banks. / Syfte: Syftet med den här studien är att öka förståelsen om hur en banks förutsättningar och interna faktorer har påverkat dess val av beräkningsmetod för kapitalkravet. Teoretisk och empirisk metod: Forskningsstrategin för studien har varit av den kvalitativa typen med en deduktiv ansats. Valet av metod var djupintervjuer med respondenter från ett målinriktat urval av svenska banker. Respondenterna valdes utifrån de kunskaper som de besitter genom sin position på respektive bank, där deras deltagande i metodvalsprocessen påverkade valet av beräkningsmetod. Intervjuerna var av typen semistrukturerade, med öppna intervjufrågor för att få till en dialog med respondenterna och ta del av deras åsikter och kunskaper gällande de olika faktorerna till metodvalet. Teoretisk referensram: Studien utgick från den nyinstitutionella teorin, om hur institutioner påverkar organisationers beteenden. Den har baserats på tidigare forskning inom regelverket Basel II av bland annat Hakenes och Schnabel (2011), Rime (2005) samt Wahlström (2009). Slutsats: Resultatet av denna studie visar på att bankerna har identifierat olika faktorer som påverkar valet av beräkningsmetod för kapitalkravet. Valet som bankerna står inför är att behålla Schablonmetoden, utveckla en IRK-metod, skapa samarbeten med andra banker eller fokusera på alternativa klientelportföljer. De två faktorer som ansågs ha störst signifikans för valet av beräkningsmetod var resurserna som förknippades med implementeringen av modellerna i IRKmetoden och hur bankens klientelportfölj var utformad. Hur dessa var fördelade och i vilken grad de påverkade valet var högst individuellt för de utvalda bankerna.

Different capital regulatory requirements in the bank and insurer markets lead to finding and using of new more complex financial tools linked with capital release and subsequent optimization of the investment objectives, but they are also linked with promises and risk transfers that could cause a collapse or a systemic risk of the financial markets, as evidence by the recent financial crisis. The aim of my work is to examine the behavior of credit default swap spreads on the securitization and reinsurance markets, followed by analyzing arbitrage conditions between securitization and reinsurance markets by cointegration analysis. The thesis focuses on Italy because it is one of four main European players in the securitization market and it has highly developed bank and insurer markets. Moreover, it still faces to consequences of the recent financial crisis that is indicator of strong possible bases for above mentioned complex financial instruments. On the dataset of Top 8 Italian banks and insurer companies in the period 2006 - 2012 I showed by cointegration analysis a presence of just one cointegration relationship between securitization and reinsurance market, therefore I rejected possibility of arbitrage between these markets. But on the other hand, they converge to long term equilibrium slowly...

Depuis 2008, le thème de l’arbitrage réglementaire a attiré beaucoup d’attention. Le contournement des réglementations prudentielles (notamment des accords de Bâle) par l’utilisation de techniques de « Shadow Banking » (telles que la titrisation ou les instruments dérivés) a été dénoncé comme étant une des causes principales de la crise bancaire. D’après la littérature spécialisée, l’arbitrage réglementaire serait le résultat de failles qui émergeraient au sein des réglementations, lesquelles seraient exploitées par des arbitragistes pour minimiser leurs coûts. Cependant, l’arbitrage réglementaire n’a pas réellement fait l’objet d’une analyse théorique et économique satisfaisante permettant de comprendre pleinement ses causes et ses conséquences. La première partie de cette dissertation s’attache plus spécifiquement aux causes de l’arbitrage réglementaire. Bien que l’attention soit bien souvent portée sur l’arbitragiste qui tente de manipuler les structures juridiques de ses transactions pour capturer des opportunités de profits, nous soulignerons le rôle du régulateur qui de manière intentionnelle ou non, crée les conditions nécessaires à l’arbitrage réglementaire. Le mode de production des règles et le rôle de l’environnement institutionnel sont bien souvent omis. Ce point nous mène à discuter en détail de la différence de nature entre réglementations et règles contractuelles et son incidence sur l’arbitrage réglementaire. La seconde partie porte sur les conséquences de l’arbitrage réglementaire. Celles-ci n’ont été que partiellement discutées dans la littérature existante. Efficacité des réglementations, qualité des règles, effet redistributif, création ou destruction de richesses, concurrence réglementaire accrue ou tentative d’harmonisation des juridictions, tels seront les thèmes qui sont impactés par ce phénomène et qui seront abordés dans cette dissertation. / Since 2008, regulatory arbitrage has attracted a lot of attention. Circumventions of banking prudential rules (such as Basel rules) using shadow banking (such as securitization or derivatives instruments) have been pointed out as one of the main causes of the banking crisis. According to the financial literature, regulatory arbitrage would be the results of “loopholes” that emerge within regulations and which are used by arbitragers to minimise their regulatory cost. However, regulatory arbitrage has not truly been analysed from a theoretical and economic perspective which is key to understand fully its causes and consequences. The first part of this dissertation will focus more specifically on the causes of regulatory arbitrage. While light is usually shed on the action of arbitragers who attempt to manipulate the legal structure of their transactions to capture profit opportunities, we emphasize the role of the regulator who purposely or not, generates the necessary conditions for regulatory arbitrage to take place. The role of rules production type and institutions are usually omitted. This point leads us to discuss in detail the difference in nature between regulation and contractual rules and their incidence on regulatory arbitrage. The second part will focus on the consequences of regulatory arbitrage. These have not only been discussed partially in the existing literature. Efficiency of regulation, quality of rules, redistributive effect, creation or destruction of resources, increased regulatory competition or harmonization strategies among jurisdictions will be discussed in this dissertation as potential outcome of this phenomenon.

Le monde économique connaît actuellement un large mouvement de réglementation afin de stabiliser la finance et de renforcer la surveillance des activités bancaires à travers le nouveau dispositif de Bâle. Ce dernier est au centre du débat actuel sur les besoins de financement de l’économie dans le cadre de la crise actuelle et ses effets sur le financement de l’économie. En effet, les pays développés ont connu un credit crunch à la suite de la crise des subprimes et du renforcement de la réglementation des activités bancaires. Dans ce cadre, nous nous intéressons aux effets du nouveau cadre réglementaire et de son application dans les pays développés, où sont implantées les banques internationales, sur leurs flux bancaires vers les pays émergents qui ont déjà connu de grandes crises dues à la nature volatile de leur financement extérieur. Les résultats apportés dans le cadre de cette thèse montrent que la réglementation basée sur les pondérations aux risques affecte le volume, la structure et la volatilité de ces flux. En effet, vu l’importance des flux bancaires dans le financement des pays émergents et vu le renforcement des exigences réglementaires dans le contexte de la crise, la modification des possibilités d’arbitrage réglementaire a conduit à des modifications de la structure du financement externe des pays émergents avec la progression du financement obligataire au détriment du financement bancaire. Cette nouvelle structure, volatile et dépendant des cycles de marché, n’est pas sans conséquences sur la stabilité financière de ces pays trop sensible aux changements de financement externe, ce qui implique de nouveaux défis pour garantir la stabilité de ces pays émergents. / The economic world is now undergoing a large regulatory movement to stabilize finance and strengthen the supervision of banking activities through the new Basel agreement. This agreement is the focus of the current debate on the economy financing needs in the context of the recent crisis and its effects on the economy financing. Indeed, developed countries have recently experienced a credit crunch following the subprime crisis and strengthening the regulation of banking activities. In this context, we are interested in the effects of the new regulatory framework and its application in developed countries, where are headquarters of international banks, on their banking flows to emerging countries that have already experienced major crises due to the volatile nature of external financing. The results obtained in this thesis show that regulation based on risk weights affects the volume, structure and volatility of these flows. Indeed, given the importance of bank flows in the financing of emerging countries and given the strengthening of regulatory requirements in the context of the crisis, the change in regulatory arbitrage opportunities modifies the external financing structure of emerging countries with the evolution of bond financing instead of bank financing. This new external financing structure, volatile and depends on market cycles, is not without consequences for the financial stability of these countries, which remains very sensitive to changes in external financing, what implies new challenges to guarantee their stability.

Submitted by José Augusto Mazzoni Martins Ferreira (josemazzoni@bancobbm.com.br) on 2017-11-01T19:45:43Z No. of bitstreams: 1 Dissertacao - José Mazzoni (versão final).pdf: 1837578 bytes, checksum: 7e30e5efce6e72b928dccfb012c11a50 (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2017-11-29T13:53:47Z (GMT) No. of bitstreams: 1 Dissertacao - José Mazzoni (versão final).pdf: 1837578 bytes, checksum: 7e30e5efce6e72b928dccfb012c11a50 (MD5) / Made available in DSpace on 2017-11-29T13:54:08Z (GMT). No. of bitstreams: 1 Dissertacao - José Mazzoni (versão final).pdf: 1837578 bytes, checksum: 7e30e5efce6e72b928dccfb012c11a50 (MD5) Previous issue date: 2017-01-24 / This work evaluates the regulatory capital required by Brazilian Central Bank (“BCB”) from financial institutions under its regulation, concerning the standard approach for marked risk, compared to alternative approaches commonly used by the financial industry, equivalent to VaR and Stress-Testing models. For a chosen group of risky assets (foreign currencies, stocks, stock indexes, commodities and interest rates), it was calculated the regulatory capital required by BCB under standard approach and compared to the estimated potential losses, according the alternative models. The results evidence a conservative position by BCB related to market risk of foreign currencies and interest rates, being more suitable for commodities and lenient for equities and their respective indexes. It is also possible to observe the existence of regulatory arbitrage, in which there is very low regulatory capital requirement (or no requirement) for certain risky assets portfolios. / Esse trabalho avalia o capital requerido pelo Banco Central do Brasil (“BCB”) das instituições financeiras por ele reguladas, para risco de mercado segundo abordagem padronizada, em comparação com métricas comumente adotadas pela indústria financeira, referentes aos modelos de VaR e Stress-Testing. Para um determinado grupo escolhido de ativos arriscados (moedas, ações, índice de ações, commodities e taxas de juros), foi aplicada a abordagem do BCB para o capital regulatório requerido e comparada com a perda potencial estimada pelos modelos alternativos. Os resultados evidenciam uma postura bastante conservadora por parte do BCB em relação aos riscos de mercado de moedas e taxas de juros, sendo mais ponderada para commodities e leniente para ações e seus respectivos índices. Pode-se também avaliar a existência de arbitragens regulatórias, onde há exigência muito baixa de capital regulatório (ou nenhuma exigência) para determinados portfólios arriscados.

This thesis analyzes spillover effects of prudential policies on cross-border capital flows in the period from 2000 until 2014 for 64 countries. It estimates the size of the effect, which 9 most common prudential policy tools had on capital flows based on BIS LBS. The findings show spillover effect of general capital requirements and consumer credit capital requirements on the cross-border capital flows. This work provides analysis of spillover effects in several groups of countries with special accent on CEE countries. JEL Classification F32, F34, G21 Keywords Macroprudential policies; Prudential and supervisory measures; Cross-border banking flows; Leakages; Regulatory arbitrage; CEE Author's e-mail ilyshar@gmail.com Supervisor's e-mail adam.gersl@gmail.com

This thesis contains three self-contained chapters, covering different subjects but using similar methods: The Effect of Foreclosure Laws on Securitization: Evidence from U.S. States shows that mortgage loans are less likely to be securitized in states with costlier foreclosure procedures. I interpret this in light of prior literature showing a higher foreclosure risk for securitized loans, due to unwillingness to renegotiate by the agents working on behalf of investors. Moreover, the magnitude of the effect increases for loans with higher risk of default, and disappears for loans where state foreclosure laws usually do not apply. Do daughters make family firms more sustainable? studies listed companies with a family owning a large block of shares, and asks how the family composition affects the company’s policies. Creating a novel Swedish data set, I find that environmental performance improves when the family has more daughters. The effect does not seem to operate through more adult daughters leading to more female CEOs or board members, or through the appointment of family members as CEOs. Bank taxes, leverage and risk uses staggered changes in US state-level bank taxation, and documents an increase in leverage when taxes are raised. Banks partly dampen the effect by adjusting their Tier 2 capital (a lower-quality form of regulatory capital that is less able to absorb losses), and by reducing the risk on the asset side of the balance sheet as measured by regulators. / <p>Diss. Stockholm :  Stockholm School of Economics, 2015. Introduction together with 3 papers</p>

近年來，國內金融問題層出不窮，陸續發生多起的金融弊案，皆有引發金融危機之可能。因此如何強化金融監理效能，建立金融市場之安定與秩序，實為金融革新的重要議題。 世界上多數國家的金融監理架構有單一監理機關與多數監理機關，甚至折衷於二者之方式。我國目前金融市場中因金融商品之區隔性降低、金融購併與金融集團之出現、效率監理原則、及因應WTO的加入考量，究竟如何調整金融監理架構以強化金融監理效能，實為當務之急。因此，政府希冀成立金融監督管理委員會，以有效整合金融發展政策及監理事權，全面加速金融現代化工程，因應未來國際金融競爭趨勢。 而本文，以「論金融統合監理之架構」為題，試圖先對我國現行金融監理架構做一剖析；其次針對單一監理架構—以英國金融服務管理局（Financial Service Authority）、澳洲金融監理總署（Australian Prudential Regulation Authority）、韓國金融監理局（Financial Service Supervision）為介紹；在其次亦就多數監理架構為論述—以美國的金融監理架構為題；繼而對於我國未來金融監理架構—以現行的行政院金融監督管理委員會組織法草案為介紹；最後做一評析與建議。 / In the last decade, Taiwan has experienced several financial institutions scandals and a local financial crisis has almost emerged. Under such a circumstance, it is essential for the Government to undertake regulatory reform in order to enhance the regulatory efficiency and reinstate the social confidence toward the financial markets. To cope with the entrance into WTO, the trend of financial liberalization, the emergence of financial conglomerates, it seems crucial for Taiwan to reconstruct the regulatory framework to promote the regulatory effectiveness and efficiency. Under such a scenario, the Government intends to establish a new regulatory agency, i.e. the Financial Regulatory Committee, to regulate financial institutions in a consolidated approach. The main theme of this paper focuses on the issue of the consolidation in financial regulatory structure. In the first place, the current financial regulatory mechanism in Taiwan is addressed and the potential inefficiency is identified. Secondly, some models of the single-regulator approach are examined, including the Financial Services Authority of UK, the Australian Prudential Regulatory Authority and the Financial Services Supervision of South Korea. On the other hand, the US model, the most significant one in the multiple-regulator approach, is also envisaged in the third place. Fourthly, the draft of Financial Regulatory Committee Bill of Taiwan is examined and the potential failures therein are explored. As possible contribution to the financial regulatory reform in Taiwan, some conclusive remarks and suggestions are submitted in the final place.

Les hedge funds sont devenus des acteurs incontournables des marchés financiers et, pourtant, ils demeurent toujours inconnus ou «mal connus» à la fois par le grand public, les régulateurs et les juristes. À l’heure du bilan de la directive AIFM qui avait pour ambition de proposer une réglementation ambitieuse de l’industrie des hedge funds au sein de l’Union européenne, il convient de revenir sur ces entités dont l’histoire, les stratégies, le statut juridique, les caractéristiques et le régime juridique demeurent, encore, flous. La thèse vise à proposer une définition et un portrait-robot précis des hedge funds via leur identification par leurs caractéristiques, qu’elles soient propres ou empruntées à d’autres entités. Un hedge fund n’est pas un fonds de gestion collective ni une forme juridique à part entière. Un hedge fund peut revêtir tout type de forme sociale et sera communément considéré comme tel dès lors que l’entité s’emploiera à adopter certaines stratégies d’investissement et disposera d’une structure de rémunération et organisationnelle particulière. Ces dernières sont des indices permettant la caractérisation d’un hedge fund dont la nature juridique est quasi-exclusivement celle d’un fonds.Le hedge fund en tant que fonds est, selon le droit français, dépourvu, à tort, de la personnalité juridique alors même qu’il dispose de tous les attributs juridiques nécessaires à une telle reconnaissance. La présente étude démontre que le législateur français a ôté la personnalité juridique à la forme sociale originelle du hedge fund en droit français alors que les arguments en faveur de cette reconnaissance étaient plus convaincants. Un hedge fund en tant que fonds s’apparente davantage à une société hybride qu’à un numéro de compte. Cette théorie s’appuie principalement sur l’argument selon lequel il existe une personnalité morale embryonnaire où la personnalité juridique serait graduelle selon l’entité concernée. / Hedge funds have become key players in financial markets and are still unknown or « poorly known » by the general public, regulators and lawyers. At the time of the review of the AIFM directive which aimed to propose an ambitious regulation of the hedge fund industry within the European Union, it is necessary to return to these entities whose history, strategies, legal status, characteristics and legal regime remain, still, unclear. The thesis aims to propose a definition and an accurate robot portrait of hedge funds through their identification by their characteristics. These characteristics are both specific to hedge funds and borrowed from other entities. A hedge fund is not a collective fund or a legal form in its own right. A hedge fund can take any legal form and will be commonly considered as such when the entity strives to adopt certain investment strategies and will have a particular compensation and organizational structure. These characters are clues allowing the characterization of a hedge fund whose legal nature is almost exclusively that of a fund. However, the hedge fund as a fund is, under French law, wrongly deprived of legal personality even though it has all the legal attributes necessary for such recognition. The present study demonstrates that the French legislature removed the legal personality from the original social form of the hedge fund in French law while the arguments in favor of this recognition were more convincing. A hedge fund as a fund is more like a hybrid company than an account number. This theory is based mainly on the argument that there is a cohabiting legal personality where the legal personality is gradual depending on the entity concerned.