Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/319985 
Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
CASMEF Working Paper Series No. WP 2015/08
Verlag: 
LUISS Guido Carli, Department of Economics and Finance, Arcelli Centre for Monetary and Financial Studies, Rome
Zusammenfassung: 
We use the results of the ECB's Comprehensive Assessment to evaluate the importance of bank business model on risk assessment and the persuasive effectiveness of different supervisory styles on banks' recapitalization. Our analysis reveals inconsistencies in the information content provided by the various regulatory measures used for assessing bank stability. Moreover, opposite to the RWA density and CET1 ratio, the leverage ratio provides assessments on business models closer to a market-based measure of bank risk. We also find that the effectiveness of the supervisory action depends on the specific type of supervisory model. In particular, countries adopting the hybrid model are more severe and effective in persuading banks to recapitalize preventively. Differently, countries adopting the integrated and the sectorial model seem less prone or able to be effective in their requests.
Schlagwörter: 
macroprudential regulation
stress test
systemic risk
risk-weighted assets
JEL: 
G28
G21
G11
G01
Dokumentart: 
Working Paper

Datei(en):
Datei
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