Regulatory Measures Against Systemic Risk in Banking Sector: The Evidence for the Republic of Belarus

2021 ◽  
pp. 309-328
Author(s):  
Svetlana Malykhina
Keyword(s):  
Systemic Risk ◽  
Banking Sector ◽  
Regulatory Measures ◽  
The Republic

scholarly journals Analysis of the systemic credit risk component in the banking sector of the Republic of Serbia

2021 ◽  
Vol 69 (3-4) ◽  
pp. 65-79
Author(s):  
Svetlana Drljača-Kanazir
Keyword(s):  
Credit Risk ◽  
Systemic Risk ◽  
Banking Sector ◽  
Small Sample ◽  
Risk Exposure ◽  
Loan Portfolio ◽  
Policy Makers ◽  
Significant Difference ◽  
The Republic ◽  
Macroeconomic Aggregates

The subject of this research paper is quantification of the degree of systemic risk exposure of the Serbian banking sector's loan portfolio in the period from 2008Q4 to 2019Q3, including by main commercial segments (corporate and retail). The Basel Committee on Banking Supervision, under its regulatory framework, makes a distinction between corporate and retail loans regarding the exposure to systemic risk. Based on the above, the following hypotheses are set: a) There is a significant difference in systemic risk exposure between corporate and retail loans in the Serbian banking sector and b) Forecasting the exposure to systemic risk of the entire Serbian banking sector can be performed on the basis of corporate loans due to the specificity of the economic system of the Republic of Serbia. The results of the research corroborated the truthfulness of both hypotheses, which has a multifold significance for commercial banks' management, macroeconomic and macroprudential policy makers. First, banking and accounting regulations require stress-testing of probability of default on the change in macroeconomic aggregates and its impact on the bank's capital. Second, a bank's sensitivity to changes in macroeconomic aggregates predominantly depends on the loan portfolio structure by commercial segments. Third, the conclusion of the academic elite that the development of the capital market would lead to an increase in the macroeconomic stability of the Republic of Serbia and reduce the procyclicality of credit risk was confirmed. We used the autoregressive distributed lags model (ARDL model) because there is a difference in order of integration in the observed time series (I(0) and I(1)), and because this method provides good results for relatively small sample data sizes.

scholarly journals THE BASEL III REGULATORY FRAMEWORK AND ITS IMPLICATION ON THE LIQUIDITY OF THE BANKING SECTOR IN THE REPUBLIC OF NORTH MACEDONIA

2019 ◽  
Vol 34 (1) ◽  
pp. 133-138
Author(s):  
Zhelao Vytev ◽  
Hazir Gashi
Keyword(s):  
Banking Sector ◽  
Global Financial Crisis ◽  
Banking System ◽  
Regulatory Framework ◽  
Basel Iii ◽  
Regulatory Requirements ◽  
Regulatory Measures ◽  
The Republic ◽  
The Global Financial Crisis ◽  
The Impact

The advent of the global financial crisis and its consequences have led the banking system to work towards more stringent regulatory rules. Additional regulatory requirements affect various aspects of banks' operations. In this regard, one of the most important questions that arises is how the implementation of the new Basel III regulatory framework affects the liquidity of banking institutions.The focus in this paper is the liquidity of the banks in the Republic of Northern Macedonia. The subject of the study is focused on the strength and direction of the impact of the new Basel III regulatory framework on their liquidity. The aim of the study is to reveal the effect of the use of modern regulatory requirements on liquidity of the banking system. A coefficient analysis is applied using a system of appropriately selected indicators: change (increment or decrease) of liquid and highly liquid assets, relative share of liquid and highly liquid assets in the structure of assets, coverage of liabilities with liquid assets, coverage of short-term liabilities with liquid assets, coverage of deposits by non-financial entities with liquid assets, “loans / deposits” ratio.The study includes observations on developments in the banking sector of the Republic of Northern Macedonia for the period 2007-2018. In terms of the impact of the new regulatory framework on banking liquidity, the twelve-year period analysed includes three distinct phases: 1) the time before the onset of the global financial crisis (until 2009); 2) the crisis period (2009 to 2012); 3) the post-crisis period (after 2012), during which the new regulatory measures are gradually moving (Basel III). For the purposes of the study, two working hypotheses are formulated: 1) first hypothesis - the new rules for regulating liquidity and capital adequacy have a negative or stagnant effect on the liquidity of banks in the Republic of Northern Macedonia, manifested in the form of sensitive fluctuations or in the form of sensitive fluctuations or a number of their financial liquidity indicators; 2) second hypothesis - the implementation of the new regulatory measures does not adversely affect banks' liquidity. The analysis of real empirical data shows that the implementation of the new regulatory measures does not have a negative impact on the liquidity of banks in the Republic of Northern Macedonia, but rather, a tendency to stabilize and improve a number of their key liquidity indicators.

scholarly journals Measuring the systemic risk in the South African banking sector

2017 ◽  
Vol 20 (1) ◽  
Author(s):  
Gregory M. Foggitt ◽  
Andre Heymans ◽  
Gary W. Van Vuuren ◽  
Anmar Pretorius
Keyword(s):  
Financial Crisis ◽  
South African ◽  
Systemic Risk ◽  
Banking Sector ◽  
Risk Index ◽  
Financial Sector ◽  
Ethical Behaviour ◽  
The South ◽  
Case Scenario ◽  
Worst Case

Background: In the aftermath of the sub-prime crisis, systemic risk has become a greater priority for regulators, with the National Treasury (2011) stating that regulators should proactively monitor changes in systemic risk.Aim: The aim is to quantify systemic risk as the capital shortfall an institution is likely to experience, conditional to the entire financial sector being undercapitalised.Setting: We measure the systemic risk index (SRISK) of the South African (SA) banking sector between 2001 and 2013.Methods: Systemic risk is measured with the SRISK.Results: Although the results indicated only moderate systemic risk in the SA financial sector over this period, there were significant spikes in the levels of systemic risk during periods of financial turmoil in other countries. Especially the stock market crash in 2002 and the subprime crisis in 2008. Based on our results, the largest contributor to systemic risk during quiet periods was Investec, the bank in our sample which had the lowest market capitalisation. However, during periods of financial turmoil, the contributions of other larger banks increased markedly.Conclusion: The implication of these spikes is that systemic risk levels may also be highly dependent on external economic factors, in addition to internal banking characteristics. The results indicate that the economic fundamentals of SA itself seem to have little effect on the amount of systemic risk present in the financial sector. A more significant relationship seems to exist with the stability of the financial sectors in foreign countries. The implication therefore is that complying with individual banking regulations, such as Basel, and corporate governance regulations promoting ethical behaviour, such as King III, may not be adequate. It is therefore proposed that banks should always have sufficient capital reserves in order to mitigate the effects of a financial crisis in a foreign country. The use of worst-case scenario analyses (such as those in this study) could aid in determining exactly how much capital banks could need in order to be considered sufficiently capitalised during a financial crisis, and therefore safe from systemic risk.

scholarly journals Banks behavior patterns as a response to the population financial activity in the macroeconomic shocks in Russia

2021 ◽  
Vol 50 (2) ◽  
pp. 74-95
Author(s):  
Yu.S. Evlakhova ◽  
◽  
E.N. Alifanova ◽  
A.A. Tregubova ◽  
◽  
...  
Keyword(s):  
Systemic Risk ◽  
Banking Sector ◽  
Behavior Pattern ◽  
Behavior Patterns ◽  
Economic Shocks ◽  
Macroeconomic Shocks ◽  
Financial Activity ◽  
Risk Research ◽  
Systemically Important Banks

This paper finds out the behavior patterns of the Russian banking sector and systemically important banks in response to changes in the population financial activity under the economic shocks. The results show that the Russian banking sector has a behavior pattern that includes the sequence of actions: the outflow of deposits — vulnerability to non-repayment of loans — deposit bubble — credit bubble. We find no consistent evidence that systemically important banks show the same sequence of actions during the crises. We also find that the banking sector behavior and systemically important banks’ behavior varied in 2008–2009, but became the same in the crisis of 2014–2015. The coincidence of behavior patterns of the banking sector and systemically important banks increases the systemic risk. Research on intragroup differences between systemically important banks will allow finding solutions to reduce the risk.

scholarly journals Economic Insecurity as Systemic Risk

2015 ◽  
Vol 62 (s1) ◽  
pp. 29-36
Author(s):  
Ion Pârţachi ◽  
Eugeniu Gârlă
Keyword(s):  
Systemic Risk ◽  
Economic Activity ◽  
Financial Stability ◽  
Banking Sector ◽  
Activity Index ◽  
Analytical Description ◽  
Economic Security ◽  
Economic Insecurity ◽  
Corporate Sector ◽  
New Approach

Abstract Difficulties related to the problem of evaluating the economic security / insecurity, including the threshold of economic security / insecurity, namely the impossibility of giving an analytical description of a criterion entirely made up of a set of indicators describing the degree of economic security / insecurity, makes more and more researchers, including the authors, to seek indirect ways of finding solutions, for example considering systemic risk., as a measure of evaluation. Thus, starting from a new approach, and given the specific components of systemic risk to financial stability: the banking sector, corporate sector, public sector, volume of credits, economic activity index the threshold vector of economic security / insecurity can be developed. The study shows that systemic risk can be used to measure the threshold of economic security /insecurity.

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