Trends in the ratios of banks after the introduction of Basel II & after the global financial crisis. Is there any evidence of convergence?
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Keywords
Basel ; Supervision ; Β – convergence ; Risk management ; Market risk ; Liquidity risk ; Operational risk ; Capital adequacy ; Non-performing loans ; Financial crisisAbstract
In this study, we have discussed in detail the importance and development of Basel, focusing on Basel II. Each change was in response to new investment products created over time, or events that revealed the weaknesses of the previous regulatory framework. Thus, on the occasion of the global financial crisis, the risks of the mismatch of maturity and the unstable combination of financing in the balance sheets of the banks appeared. As a result, what governs banks' liquidity has changed at a regulatory and supervisory level.
Using the four largest banks in terms of capitalization from the two core countries of the Eurozone, France and Germany, and two other countries from the periphery, Italy and Spain, we estimate a model using panel data to identify the key drivers of the capital adequacy ratio. We were not able to identify any variable affecting the capital adequacy ratio for the whole period. As the sample contains both the financial crisis of 2008 and the European debt crisis, we examine the relationship above in the aftermath of Mario Draghi’s “whatever it takes” statement. Since the statement was in July 26, 2012 and our data are yearly, we estimate our model from 2013 to the end, to detect the influence of the unlimited quantitative easing provided in the system and we conclude that the ratios of total equity and net loans over total assets affect the capital adequacy ratio.
Finally, due to the support packages and the consolidation actions of the banks' balance sheets, we conclude that the β – convergence is achieved for the capital adequacy ratio of the group of banks selected.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική και Τραπεζική ΔιοικητικήDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
57Language
English
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα