Bank Solvency and Liquidity Risk in Different Banking Profiles - The Study of European Banking Sectors

• Autorzy: Renata Karkowska

Warianty tytułu

Ryzyko niewypłacalności i płynności w różnych profilach działalności banków - badanie dla europejskiego sektora bankowego

• Języki publikacji: EN

Abstrakty

EN

The goal of this study is to identify empirically how the banking size and activities affect directly the bank solvency and liquidity risk in different banking profiles. Through a dataset that covers 4250 European banks, spanning the period of 1996-2011, and the methodology of panel regression, I examine the implications of banks' size (in terms of assets and equity) and the nature of the business activity on the stability of European banking sector. The research questions are: whether the biggest banks, included in the SIFIs group are the most unstable link of systemic risk, and whether they manifest themselves as spreading and growing instability in the banking sector. To show the heterogeneity of risk determinants, the sample of banks was divided as follows: large/small assets and large/small equity. The findings have implications for both bank risk management and regulators. This paper advances the agenda of making macroprudential policy operational(original abstract)

Celem badania jest weryfikacja empiryczna wpływu wielkości i działalności bankowej na ryzyko niewypłacalności oraz utraty płynności w różnych profilach banków. Wykorzystując bazę 4250 banków europejskich obejmującą okres 1996-2011 oraz metodykę regresji panelowej, podjęto próbę odpowiedzi min. na pytanie badawcze: czy największe banki, wchodzące w skład grupy SIFI, są najbardziej niestabilnym sektora bankowego? Aby pokazać różnorodność uwarunkowań ryzyka systemowego, próba banków została podzielona w następujący sposób: duże/małe aktywa i duży/mały kapitał własny. Wyniki mają znaczenie zarówno dla zarządzania ryzykiem bankowym jak i władz regulacyjnych. Artykuł powinien stanowić wytyczne dla kształtowania polityki makroostrożnościowej(abstrakt oryginalny)

Słowa kluczowe

EN

Banking; Financial liquidity; Financial risk; Macroprudential policy

PL

Bankowość; Płynność finansowa; Ryzyko finansowe; Polityka makroostrożnościowa

• Czasopismo: Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
• Rocznik: 2016
• Numer: nr 428 Wrocław Conference in Finance: Contemporary Trends and Challenges
• Strony: 104--116

Twórcy

autor

Renata Karkowska

• University of Warsaw

Bibliografia

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Identyfikatory

DOI

10.15611/pn.2016.428.09