• Ingen resultater fundet

CRD IV and CRR

14. BIBLIOGRAPHY

Avdjiev, S., Kartasheva, A. V. & Bogdanova, B., 2013. CoCos: A Primer. BIS Quarterly Review.

BankofAmericaMerrillLynch, 2017. The coming bail-in bonanza. s.l.:s.n.

Barclays, 2016. European CLO primer. s.l.:s.n.

Barclays, 2016. French Banks. The Third Wave: Valuing Tier 3 Debt. s.l.:s.n.

Barclays, 2017. European Credit Alpha: European election ensemble. s.l.:s.n.

Barclays, 2017. European Election ensemble. s.l.:s.n.

Bielecki, T. a. J. M. & Rutkowski, M., 2006. Credit risk: Lecture of M. Jeanblanc.

s.l.:s.n.

BIS, 1988. International Convergence of Capital Measurement and Capital Standards. Basel Committee on Banking Supervision.

BIS, 1999. A New Capital Adequacy Framework. Basel Committee on Banking Supervision.

BIS, 2004. International Convergence of Capital Measurement and Capital Standards - A Revised Framework. Basel Committee on Banking Supervision.

BIS, 2009. Revisions to the Basel II Market Risk Framework. Basel Committee on Banking Supervision.

BIS, 2010. Basel III: A Global Regulatory Framework for More Resilient Banks and Banking Systems. Basel Committee on Banking Supervision.

BIS, 2010. Basel III: International Framework for Liquidity Risk Measurement, Standards and Monitoring. Basel Committee on Banking Supervision.

BIS, 2013. Global Systemically Important Banks: Updated Assessment Methodology and the Higher Loss Absorbency Requirement. Basel Committee on Banking Supervision.

BIS, 2016. History of the Basel Committee. Basel Committee on Banking Supervision.

Black, F. & Cox, J. C., 1976. Valuing corporate securities: Some effects of bond indenture provisions. The Journal of Finance, Volume 31, pp. 351-367.

Black, F. & Scholes, M., 1973. The pricing of options and corporate liabilities.

Journal of political economy, Volume 81, pp. 637-654.

Boyle, P. P., 1977. Options: A Monte Carlo Approach. Journal of Financial Economics, Volume 4, pp. 323-338.

Brennan, M. J. & Schwartz, E. S., 1980. Analyzing convertible bonds. Journal of Financial and Quantitative analysis, Volume 15, pp. 907-929.

Choudhry, M., 2011. Structured Credit Products: Credit Derivatives and Synthetic Securitisation. s.l.:s.n.

CommissionDelegatedRegulation1450, 2016. Commission Delegated Regulation (EU) 2016/1450 supplement of BRRD. Official Journal of the European Union, 5.

CreditSuisse, 2016. European Banks: Sector offers attractive relative value. s.l.:s.n.

DanskeBank, 2016. Danske Bank, Risk Management Report 2016. s.l.:s.n.

DanskeBank, 2017. Development of TLAC/MREL in the Nordics. s.l.:s.n.

Deloitte, 2013. Adressing the risks posed by systemically important banks. The end of too big to fail. s.l.:s.n.

DeutscheBundesbank, 2014. Europe’s new recovery and resolution regime for credit institutions. [Online].

Duffie, D. & Lando, D., 2001. Term Structures of Credit Spreads with Incomplete Accounting Information. Econometrica, Volume 69, pp. 633-664.

EBA, 2016. BRRD recital. [Online].

EBA, 2016. How to ensure enough Loss Absorbing Capacity: From TLAC to MREL. s.l.:s.n.

ECB, 2016. Systemic risk buffer. s.l.:s.n.

ECB, 2017. ECB Statistical Data Warehouse. s.l.:s.n.

ECB, 2017. What is a precautionary recapitalisation and how does it work?. s.l.:s.n.

EMU, 2017. Economic and Monetary Union. s.l.:s.n.

EuropeanCentralBank, 2015. Opinion of the European Central Bank of 2 September 2015 on bank resolution (CON/2015)/31). [Online]

Available at:

https://www.ecb.europa.eu/ecb/legal/pdf/en_con_2015_35_f_sign.pdf

EuropeanCentralBank, B., 2016. Supervision Explained. What is the SREP?.

s.l.:s.n.

EuropeanCommission, 2013. Capital Requirements: CRD IV/CRR. Frequently Asked Questions. s.l.:s.n.

EuropeanCommission, 2014. EU Bank Recovery and Resolution Directive (BRRD):

Frequently Asked Questions. [Online].

EuropeanSystemicRiskBoard, 2017. Announced CCyB Rates. [Online].

Fabozzi, F. J., 2013. Bond Markets, Analysis and Strategies. 8th ed. s.l.:Pearson.

FinancialStabilityBoard, 2015. Total Loss-absorbing Capacity (TLAC) Term Sheet.

s.l.:s.n.

FinancialTimes, 2017. Bankers engineer Danish bond to address regulatory

uncertainty. [Online]

Available at: https://www.ft.com/content/5bb6cc72-1407-34ce-aaa6-396d94c2d161 Flannery, M. J., 2005. No pain, no gain? Effecting market discipline viaŕeverse convertible debentures .

Flannery, M. J., 2016. Stabilizing large financial institutions with contingent capital certificates. Quarterly Journal of Finance, Volume 6, p. 1650006.

Glasserman, P., 2003. Monte Carlo Methods in Financial Engineering. s.l.:Springer.

Glasserman, P. & Nouri, B., 2012. Contingent capital with a capital-ratio trigger.

Management Science, Volume 58, pp. 1816-1833.

Hull, J., 2015. Risk Management and Financial Institutions. s.l.:Wiley.

Hull, J. C., 2012. Options, Futures, and other Derivatives. 8th ed. s.l.:Prentice Hall.

Jarrow, R. A., Lando, D. & Turnbull, S. M., 1997. A Markov model for the term structure of credit risk spreads. Review of Financial studies, Volume 10, pp. 481-523.

Kim, I. J., Ramaswamy, K. & Sundaresan, S., 1993. Does default risk in coupons affect the valuation of corporate bonds?: A contingent claims model. Financial Management, pp. 117-131.

Lando, D., 2009. Credit risk modeling: theory and applications. s.l.:Princeton University Press.

Lando, D. & Poulsen, R., 2006. Lecture Notes for Finance 1 (and More). s.l.:s.n.

Leland, H. E., 1994. Corporate debt value, bond covenants, and optimal capital structure. The journal of finance, Volume 49, pp. 1213-1252.

Leland, H. E. & Toft, K. B., 1996. Optimal capital structure, endogenous bankruptcy, and the term structure of credit spreads. The Journal of Finance, Volume 51, pp. 987-1019.

Longstaff, F. A. & Schwartz, E. S., 1995. A simple approach to valuing risky fixed and floating rate debt. The Journal of Finance, Volume 50, pp. 789-819.

Maragopoulos, N. G., 2016. Minimum requirements for own funds and elegible liabilities (MREL): A comprehensive analysis of the new prudential requirement for credit institutions. European Center of Economic and Financial Law.

McDonald, R. L., 2013. Contingent capital with a dual price trigger. Journal of Financial Stability, Volume 9, pp. 230-241.

Merton, R. C., 1974. On the Pricing of Corporate Debt: The Risk Structure of Interest Rates. The Journal of finance, Volume 29, pp. 449-470.

Mesnard, B., 2016. Loss absorbing capacity in the Banking Union: TLAC

implementation and MREL review. [Online]

Available at:

http://www.europarl.europa.eu/RegData/etudes/BRIE/2016/574408/IPOL_BRI (2016)574408_EN.pdf.

MoodysAnalytics, 2011. Basel II. Pillar 1: An Introduction, s.l.: s.n.

MorganStanley, 2017. MREL Surey - Results. s.l.:s.n.

Nagel, S. & Purnanandam, A., 2015. Bank risk dynamics and distance to default.

Becker Friedman Institute for Research in Economics Working Paper, March, University of Chicago.

Natixis, 2016. EBA reports on MREL: what is in store for banks?. s.l.:s.n.

Natixis, 2016. Is it all again about regulation for Eurozone banks in 2016?. s.l.:s.n.

Newman, Y. & Rierson, M., 2004. Illiquidity spillovers: Theory and evidence from European telecom bond issuance.

of England, B., 2016. The minimum requirement for own funds and eligible liabilities (MREL) - buffers and threshold conditions. s.l.:s.n.

Parliment, E., 2016. What to do with profits when banks are undercapitalized:

Maximum Distributable Amount, CoCo Bonds and Volatile Markets. s.l.:s.n.

Pennacchi, G., 2010. A Structural Model of Contingent Bank Capital.

Ramirez, J., 2017. Handbook of Basel III Capital: Enhancing Bank Capital in Practice. s.l.:s.n.

SEB, 2017. Take-aways from the final MREL proposal. s.l.:s.n.

SingleResolutionBoard, 2016. SRB Approach to MREL in 2016. s.l.:s.n.

SNDO, 2017. Decision memorandum Application of the minimum requirement for

own funds and eligible liabilities. [Online]

Available at: https://www.riksgalden.se/globalassets/pagefiles/6876/mrel-decision-memorandum.pdf

Sundaresan, S., 2013. A Review of Mertonś Model of the Firmś Capital Structure with Its Wide Applications. Annual Review of Financial Economics, Volume 5, pp.

21-41.

Sundaresan, S. & Wang, Z., 2010. Design of contingent capital with a stock price trigger for mandatory conversion, s.l.: s.n.

Sundaresan, S. & Wang, Z., 2015. On the design of contingent capital with a market trigger. The Journal of Finance, Volume 70, pp. 881-920.

Supervision, E. C. B. B., 2016. Frequently asked questions on the 2016 EU-wide

stress test. [Online]

Available at:

https://www.bankingsupervision.europa.eu/about/ssmexplained/html/stress_test _FAQ.en.html

Supervision, E. C. B. B., 2016. SSM SREP Methodology Booklet, 2016 Edition.

s.l.:s.n.

TheEuropeanParliament, 2014. Directive 2014/59/EU of The European Parliament and of the Council of 15 May 2014. Official Journal of the European Union, 5.

Zhou, C., 2001. The term structure of credit spreads with jump risk. Journal of Banking \& Finance, Volume 25, pp. 2015-2040.