| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP11920
|
| DP11920 Did the Basel Process of Capital Regulation Enhance the Resiliency of European Banks? |
| Thomas Gehrig
|
| 发表日期 | 2017-03-19
|
| 出版年 | 2017
|
| 语种 | 英语
|
| 摘要 | This paper analyses the evolution of the safety and soundness of the European banking sector during the various stages of the Basel process of capital regulation. In the first part we document the evolution of various measures of systemic risk as the Basel process unfolds. Most strikingly, we find that the exposure to systemic risk as measured by SRISK has been steeply rising for the highest quintile, moderately rising for the second quintile and remaining roughly stationary for the remaining three quintiles of listed European banks. This observation suggests that the Basel process has succeeded in containing systemic risk for the majority of European banks but not for the largest institutions. In the second part we analyse the drivers of systemic risk. We find compelling evidence that the increase in exposure to systemic risk (SRISK) is intimately tied to the implementation of internal models for determining credit risk as well as market risk. Based on this evidence, the sub-prime crisis found especially the largest and more systemic banks ill-prepared and lacking resiliency. This condition has even aggravated during the European sovereign crisis. Banking Union has not (yet) brought about a significant increase in the safety and soundness of the European banking system. Finally, low interest rates affect considerably to the contribution to systemic risk across the whole spectrum of banks. |
| 主题 | Financial Economics
; Monetary Economics and Fluctuations
|
| 关键词 | Capital shortfall
Systemic risk
Internal risk models
Resilience
Quantile regressions
|
| URL | https://cepr.org/publications/dp11920-0
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/540732
|
推荐引用方式
GB/T 7714 |
Thomas Gehrig. DP11920 Did the Basel Process of Capital Regulation Enhance the Resiliency of European Banks?. 2017.
|
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