On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...

Credit risk assessment is a crucial part of macroprudential analysis, with the aggregate nonperforming loan (NPL) ratio serving as a proxy for the economy-wide probability of default of the banking sector's overall loan exposure. Therefore, the factors driving the NPL ratio deserve a lot of...

The main result of the quick reactions of the Federal Reserve (the Fed) and the European Central Bank (ECB) to the Covid-19 crisis are that more than 20% of their public debt is now held by these central banks and that the balance sheet of the ECB is now near 50% of GDP (33% for the Fed). Two...

In this paper, we study the impact of extreme events on the loan portfolios of the Greek banking system. These portfolios are grouped into three separate groups based on the size of the bank to which they belong, in particular, large, medium, and small size. A series of extreme scenarios was...

This paper develops a macroprudential liquidity stress test model for Indonesian banks. Our model incorporates two factors driving liquidity runs: (i) idiosyncratic factors; and (ii) macroeconomic factors. We estimate this model using a sample of 113 banks over the period of January 2011 to June...

The traditional approach to the stress testing of financial institutions focuses on capital adequacy and solvency. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which may not be consistent with those used in solvency...

The aim of this paper is to analyze the combined effect of both internal and external mechanisms on the performance of thirty European banks. This research uses a technique of panel data over the period 2004 to 2009. The results show that banks conduct trade-offs between different governance...

The paper provides redesigned approaches in bank risk control, as result of the latest credit crisis. The study's framework links the credit crunch causes to Basel II (BII) and Capital Requirements Directive (CRD) implementation in SMBs. A threefold approach applies: • primary data (June...

In order to address the weaknesses of the financial system revealed by the recent financial crisis, Basel Committee introduced a series of changes in the international regulatory framework. Basel III is a set of proposed modifications to international rules on capital adequacy and liquidity of...