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2014 | nr 4 | 18
Tytuł artykułu

The Analytical Framework for Identifying and Benchmarking Systemically Important Financial Institutions in Europe

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
The aim of this article is to identify systemically important banks on a European scale, in accordance with the criteria proposed by the supervisory authorities. In this study we discuss the analytical framework for identifying and benchmarking systemically important financial institutions. An attempt to define systemically important institutions is specified their characteristics under the existing and proposed regulations. In a selected group of the largest banks in Europe the following indicators ie.: leverage, liquidity, capital ratio, asset quality and profitability are analyzed as a source of systemic risk. These figures will be confronted with the average value obtained in the whole group of commercial banks in Europe. It should help finding the answer to the question, whether the size of the institution generates higher systemic risk? The survey will be conducted on the basis of the financial statements of commercial banks in 2007 and 2010 with the available statistical tools, which should reveal the variability of risk indicators over time. We find that the largest European banks were characterized by relative safety and without excessive risk in their activities. Therefore, a fundamental feature of increased regulatory limiting systemic risk should understand the nature and sources of instability, and mobilizing financial institutions (large and small) to change their risk profile and business models in a way that reduces the instability of the financial system globally. (original abstract)
Rocznik
Numer
Strony
18
Opis fizyczny
Twórcy
  • University of Warsaw, Poland
Bibliografia
  • Acharya V.V., M. Richardson (2009), Restoring Financial Stability. How to Repair a Failed System, Wiley Finance, New Jersey
  • BIS (2011), Global systemically import ant banks: assessment methodology and the additional loss absorbency requirement. Rules text, Basel Committee on Banking Supervision, Basel, November 2011
  • Brunnermeier M., et. al. (2009), The Fundamental Principles of Financial Regulation. Geneva Reports on the World Economy 11, International Center for Monetary and Banking Studies, Geneva.
  • Cihák, Martin; Sònia Muñoz and Ryan Scuzzarella (2011), The Bright and the Dark Side of Cross-Border Banking Linkages. IMF Working Paper No. 11/186
  • FSB, IMF, BIS (2009), Guidance to Assess the Systemic Importance of Financial Institutions, Markets and Instruments: Initial Considerations. Report to G20 Finance Ministers and Governors, Financial Stability Board, International Monetary Fund, Bank for International Settlements, October.
  • Karkowska R. (2013), Czy rynek repo może stać się przyczyną kolejnego kryzysu?, Prace i Materiały Wydziału Zarządzania Uniwersytetu Gdańskiego.
  • Karkowska R., Olszak M. (2012), Leverage and funding gap of EU banks and the business cycle, w: Perspektywy integracji ekonomicznej i walutowej w gospodarce światowej. Dokąd zmierza strefa euro?, Wydawnictwo NBP i WNE, Warszawa.
  • Mayer, Thomas, Jochen Möbert and Christian Weistroffer (2010), Macroeconomic imbalances and the Eurosystem. Global Economic Perspectives. Deutsche Bank. June 2011.
  • Weistroffer Ch., (2011), Identifying systemically important financial institutions (SIFIs), Deutsche Bank Research
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171337621

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