Séminaire GREDEG - Thomas Gehrig (University of Vienna)

"Did the Basel Process of Capital Regulation Enhance the Resiliency of European Banks?"
Quand ? Le 06-10-2016,
de 14:00 à 15:30
Où ? Salle Picasso
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Thomas Gehrig

(University of Vienna)


Jeudi 6 octobre 2016 


"Did the Basel Process of Capital Regulation Enhance the Resiliency of European Banks?"


Résumé : 

This paper analyses the evolution of measures of the safety and soundness of the European banking sector during the various stages of the Basel process of capital regulation. With the help of SRISK and Delta CoVaR we trace systemic risk and measures of systematic risk as the Basel process unfolds. We observe that, though systematic risk for European banks has been moderately decreasing over the last three decades, exposure to systemic risk has heightened considerably especially for the largest systemic banks. While the Basel process has succeeded in containing systemic risk for smaller banks, it has been less successful for the largest institutions. By exploiting the option of self-regulation embodied in the choice of internal models, the latter effectively seem to have increased their exposure to systemic risk as reflected in increasing SRISK. Hence, the sub-prime crisis found especially the largest and more systemic banks ill-prepared and lacking resiliency. This condition has even aggravated during the European sovereign crisis. Banking Union has not (yet) brought about a significant increase in the safety and soundness of the European banking system.


En collaboration avec Maria Chiara Iannino (University of Vienna)

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