Systemic Risk Dynamics in the EU—A Conditional Capital Shortfall Approach

2021 ◽  
pp. 43-53
Author(s):  
Cristina Georgiana Zeldea
Keyword(s):  
Systemic Risk ◽  
Risk Dynamics ◽  
The Eu

scholarly journals France

2019 ◽  
Vol 19 (327) ◽  
Author(s):  
Keyword(s):  
Systemic Risk ◽  
Capital Requirement ◽  
Macroprudential Policy ◽  
Coverage Ratio ◽  
European Institutions ◽  
The Eu

Macroprudential policy in France is the joint responsibility with several European institutions. With the operationalization of the EU Capital Requirement Directive and Capital Requirement Regulation (CRD/CRR), the French authorities have implemented, several capital buffers, as well as the liquidity coverage ratio (LCR), based on this framework. In France, Haut conseil de stabilité financière (HCSF) is the macroprudential authority established in accordance with recommendation European Systemic Risk Board (ESRB)/2011/13 and the designated authority established in accordance with Article 136 of CRD and is in charge of activating several measures in the CRD/CRR framework as well has direct responsibilities over several tools outside this framework, for example borrower-based tools.

Systemic risk in ASEAN-6: a new empirical investigation

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Trung Hai Le
Keyword(s):  
Empirical Evidence ◽  
Systemic Risk ◽  
Business Models ◽  
Financial Integration ◽  
Global Financial Crisis ◽  
Macroprudential Policy ◽  
Content Type ◽  
Risk Dynamics ◽  
Asean Countries ◽  
Book Values

PurposeThe authors provide a comprehensive study on systemic risk of the banking sectors in the ASEAN-6 countries. In particular, they investigate the systemic risk dynamics and determinants of 49 listed banks in the region over the 2000–2018 period.Design/methodology/approachThe authors employ the market-based SRISK measure of Brownlees and Engle (2017) to investigate the systemic risk of the ASEAN-6's banking sectors.FindingsThe authors find that the regional systemic risk fluctuates significantly and currently at par or higher level than that of the recent global financial crisis. Systemic risk is generally associated with banks that have bigger size, more traditional business models, lower quality in their loan portfolios, less profitable and with lower market-to-book values. However, these relationships vary significantly between ASEAN countries.Research limitations/implicationsThe research focuses on the systemic risk of ASEAN-6 countries. Therefore, the research results may lack generalizability to other countries.Practical implicationsThe authors’ empirical evidence advocates the use of capital surcharges on the systemically important financial institutions. Although the region has been pushing to higher financial integration in recent years, the authors encourage the regional regulators to account for the idiosyncratic characteristics of their banking sectors in designing effective macroprudential policy to contain systemic risk.Originality/valueThis paper provides the first study on the systemic risk of the ASEAN-6 region. The empirical evidence on the drivers of systemic risk would be of interest to the regional regulators.

Greek and Italian ‘Lessons’ on Bank Restructuring: Is Precautionary Recapitalisation the Way Forward?

2017 ◽  
Vol 19 ◽  
pp. 144-164 ◽  
Author(s):  
Marco BODELLINI
Keyword(s):  
Systemic Risk ◽  
State Aid ◽  
Financial Instability ◽  
External Financing ◽  
The European Union ◽  
Public Intervention ◽  
External Resources ◽  
The Stability ◽  
Bank Restructuring ◽  
The Eu

AbstractEven though the bail-in tool is potentially helpful in resolving banks in crisis, it may still create the same issues that resolution is meant to prevent and/or avoid, namely contagion, financial instability and also systemic risk. Recent cases of bank restructuring have demonstrated that there are situations in which the use of the bail-in tool could end up being dangerous for the stability of the financial system. Obviously in such cases, the write down and/or conversion into equity of the bank’s liabilities must be avoided. At the same time, however, the disapplication of bail-in makes the provision of external resources necessary to rescue effectively the bank in crisis.The EU legislator was aware of these potential issues and for this reason introduced a number of rules allowing, in certain situations, both the disapplication of the bail-in tool and the provision of external financing. Nevertheless, when the provision of external financing comes from the Member States, it has to comply with the rules of the State aid framework set by the Treaty on the Functioning of the European Union (TFEU) and applied by the European Commission. In this article, it is argued that despite the strict rules on State aid, there is still room to manage even difficult banking crisis situations in which the application of the bail-in tool could be counterproductive and therefore public intervention should take place through the so-called precautionary recapitalisation instead. However, in this regard, it is crucially important that the authorities intervene before the bank in trouble ‘crosses the line’ of insolvency, as some recent cases of Greek and Italian banks have demonstrated.

scholarly journals Basic Indicators of Systemic Risk in the EU Banking Sector. Implications for Banking Regulation

2015 ◽  
Vol 47 (1) ◽  
pp. 36-55 ◽  
Author(s):  
Katarzyna Sum
Keyword(s):  
Systemic Risk ◽  
Banking Sector ◽  
Empirical Investigation ◽  
Stress Test ◽  
Balance Sheet ◽  
Banking Regulation ◽  
Risk Regulation ◽  
Test Analysis ◽  
Supranational Level ◽  
The Eu

Abstract The issue of systemic risk regulation and management has gained substantial attention following the latest financial crisis. In the case of the EU it became crucial to deal with the systemic risk problem on a supranational level since the banking sectors of the member countries are highly integrated. While substantial measures have been undertaken to mitigate systemic risk in the EU, the discussion of further reforms continues. This study’s goal is to assess basic indicators of systemic risk in the EU banking sector by using three complementary methods: a forward-looking stock market data analysis, an EU-stress test analysis for systemically important banks, and an empirical investigation of the relation between banking regulation and systemic risk as measured by bank balance sheet indicators. The results lead to a recommendation of further necessary regulatory reforms, which appear in the conclusion.

scholarly journals Luxembourg

2017 ◽  
Vol 17 (257) ◽  
Author(s):  
Keyword(s):  
Systemic Risk ◽  
Technical Note ◽  
Structural Elements ◽  
Fund Management ◽  
Management Tools ◽  
Risk Monitoring ◽  
Money Market Funds ◽  
Level Information ◽  
The Eu ◽  
Made In

This Technical Note discusses the findings and recommendations made in the 2017 Financial Sector Assessment Program for Luxembourg in areas of regulation, supervision, and systemic risk monitoring of fund management. Certain structural elements of the Luxembourg fund management industry, particularly the extensive use of delegation and concentration of fund directorships, merit increased supervisory analysis and attention beyond the current activities. The Luxembourg framework for liquidity management tools compares favorably with its peers at both the EU and international level. Information on leverage of funds is of potential relevance from a systemic risk perspective. The Luxembourg authorities have also been actively monitoring and contributing to discussions on the EU money market funds regulation.

scholarly journals Evaluation of the efficiency of European Union farms: a risk-adjusted return approach

2018 ◽  
Vol 64 (No. 6) ◽  
pp. 241-255
Author(s):  
Alekneviciene Vilija ◽  
Stareviciute Birute ◽  
Alekneviciute Egle
Keyword(s):  
European Union ◽  
Risk Management ◽  
Member State ◽  
Systemic Risk ◽  
Financial Support ◽  
Total Risk ◽  
Farm Efficiency ◽  
Sharpe Ratios ◽  
The Impact ◽  
The Eu

The aim of this study was to assess the efficiency of EU member-state farms using a risk-adjusted return approach and to determine the impact of subsidies on the efficiency of EU farms. Farm efficiency was analysed by the member-state and by the type of farming and was based on the calculation of Sharpe and Treynor ratios. Systemic risk was expressed by standard deviation in order to estimate the share of systemic risk in the total risk. The change in Sharpe ratios was assessed to determine the impact of subsidies on EU farm efficiency. The results of the risk-adjusted return analysis reveal that farms in the EU-15 were more efficient than farms in the EU-12 in 2004–2013, possibly due to being more experienced in risk management. Nevertheless, the EU-15 did not undertake a bigger share of systemic risk when compared to the EU-12 farms. The impact of financial support on the efficiency of the EU-12 farms was also not stronger when compared to the EU-15 farms.

scholarly journals Non-bank financial companies vs. banks in the European Union: a serious regulatory asymmetry with consequences

2013 ◽  
Vol 11 (1) ◽  
pp. 18-23
Author(s):  
Grażyna Szustak
Keyword(s):  
European Union ◽  
Financial Market ◽  
Systemic Risk ◽  
Banking System ◽  
The European Union ◽  
Negative Effects ◽  
The Creation ◽  
The Eu

This paper discusses the urgent need to regulate the parallel banking system, an issue which is growing in strength – and which is both topical and very important for the security and stability of the EU financial market. It aims to identify the roles and motives of banks in the creation and development of EU NBFCs, with particular focus on the regulatory asymmetry between them. It also analyses the currently emerging and possible future negative effects of such cooperation, including a dangerous accumulation of systemic risk.

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