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What is the information content of the SRISK measure as a supervisory tool?
Tavolaro, S.; Visnovsky, F. - Banque de France - 2014
The SRISK measure is advertised as measuring the recapitalization needed by a financial institution in the event of a financial crisis. It is computed from the estimated reaction of the institution’s share price in the event of a sharp drop in market prices. This indicator relies both on an...
Persistent link: https://www.econbiz.de/10010929760
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Ex Ante Capital Position, Changes in the Different Components of Regulatory Capital and Bank Risk
Camara, B.; Lepetit, L.; Tarazi, A. - Banque de France - 2013
We investigate the impact of changes in capital of European banks on their risk-taking behavior from 1992 to 2006, a time period covering the Basel I capital requirements. We specifically focus on the initial level and type of regulatory capital banks hold. First, we assume that risk changes...
Persistent link: https://www.econbiz.de/10010929762
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Deposit Insurance Adoption and Bank Risk-Taking: the Role of Leverage
Lé, M. - Banque de France - 2013
of deposit insurance adoption on individual bank leverage. Using a panel of banks across 117 countries during the period … capital buffer. This increase in bank leverage then translates into higher probability of insolvency. Most importantly, I …
Persistent link: https://www.econbiz.de/10010929763
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Regulatory changes and the cost of equity:evidence from French banks
Bandt, 0. De; Camara, B.; Pessarossi, P.; Rose, M. - Banque de France - 2014
In the paper, we first investigate the impact of an increase in capital requirements on the equity risk (beta) of listed banks in France. We find that an increase in capital ratios reduces banks’ systematic risk. This leads to a decrease in shareholders’ required return on equity, providing...
Persistent link: https://www.econbiz.de/10010929764
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Stress-testing banks’ corporate credit portfolio
Bandt, O. de; Dumontaux, N.; Martin, V.; Médée, D. - Banque de France - 2013
The paper describes the methods used by the French Banking Supervision Authority (ACP) to run stress tests for the corporate credit portfolio, through credit migration matrices (or transition matrices). This approach is currently used for “top-down” stress tests exercises. Developed for...
Persistent link: https://www.econbiz.de/10010929765
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Stress-testing banks’ corporate credit portfolio
Bandt, O. de; Dumontaux, N.; Martin, V.; Médée, D. - Banque de France - 2013
The paper describes the methods used by the French Banking Supervision Authority (ACP) to run stress tests for the corporate credit portfolio, through credit migration matrices (or transition matrices). This approach is currently used for “top-down” stress tests exercises. Developed for...
Persistent link: https://www.econbiz.de/10010929766
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The Real Effects of Bank Capital Requirements
Brun, M.; Fraisse, H.; Thesmar, D. - Banque de France - 2013
We measure the impact of bank capital requirements on corporate borrowing and business activity. We use loan-level data … firms, under Basel 2, it depends in a predictable way on both the bank's model and the firm's risk. We exploit this two …-way variation to empirically estimate the semi-elasticity of bank lending to capital requirement. This rich identification allows us …
Persistent link: https://www.econbiz.de/10010929767
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Les risques du Shadow banking en Europe : le point de vue du superviseur bancaire
Nouy, D. - Banque de France - 2013
Face aux défis soulevés par le Shadow banking en termes de stabilité financière, l?article aborde deux questions de fond. D?une part, il présente les risques posés par le Shadow banking et montre que le Shadow banking est porteur de risques intrinsèques et d?interactions complexes avec le...
Persistent link: https://www.econbiz.de/10010929768
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Does the capital structure affect banks’ profitability? Pre- and post financial crisis evidence from significant banks in France
Bandt, 0. De; Camara, B.; Pessarossi, P.; Rose, M. - Banque de France - 2014
leads to a significant increase in ROE, albeit the economic effect is modest. Furthermore, the method chosen by a bank to …
Persistent link: https://www.econbiz.de/10010929769
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Banking regulation and supervision in the next 10 years and their unintended consequences
Nouy, D. - Banque de France - 2013
In the paper, we deal with the unexpected effects of new regulations and supervision and provide recommendations to ensure their effectiveness. New regulations essentially aim at strengthening the solvency and the liquidity of financial institutions. However, some technical aspects of these...
Persistent link: https://www.econbiz.de/10010929770