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Regulatory Change and the Credit/Liquidity Crisis
This presentation contains background material on the 2007-09 Credit Crisis and on the role of money and banking versus insurance. It then summarises ideas that were being proposed at the time for regulatory change, explores the relevance of liquidity risk to insurers and pension funds and summarises some strands of debate around allowing for a liquidity premium in Solvency II.
Slides
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Regulatory Change and the Credit/Liquidity Crisis
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Regulatory Change and the Credit/Liquidity Crisis
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Regulatory Change and the Credit/Liquidity Crisis
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Timeline: 2007-2009 Credit Crunch
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Overview
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Economy-wide cash/loan flows
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Two main roles of money
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Blurred boundaries
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Regulatory Change and the Credit/Liquidity Crisis
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Ideas proposed for regulatory change
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(1) Capital adequacy
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(2) Ring-fence activities linked to depositor protection
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(3) Have existing investors carry more of the bailout burden
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(3 ctd) Resolution frameworks for failing firms
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(4) Improve business behaviours
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Other ideas/proposals
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Implications for others, e.g. Insurers and pension funds
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Regulatory Change and the Credit/Liquidity Crisis
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Liquidity Risk
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The illiquidity premium
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CEIOPS Task force (1)
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Thought experiment on the illiquidity premium
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PD or PD x LGD
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Hold-to-maturity, going vs gone concern
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CEIOPS Task Force (2)
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CEIOPS Task Force (3)
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Further comments
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Regulatory Change and the Credit/Liquidity Crisis
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References
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Important Information
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