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dc.contributor.authorGehrig, Thomas
dc.contributor.authorIannino, Maria Chiara
dc.identifier.citationGehrig , T & Iannino , M C 2021 , ' Did the Basel process of capital regulation enhance the resiliency of European banks? ' , Journal of Financial Stability , vol. 55 , 100904 .
dc.identifier.otherPURE: 274671765
dc.identifier.otherPURE UUID: a7ed987e-2c4d-43db-805a-dc1488d3c8ca
dc.identifier.otherRIS: urn:2CF61D857D88B151F7AD930E81792F7C
dc.identifier.otherORCID: /0000-0002-3420-7726/work/95772749
dc.identifier.otherScopus: 85108844395
dc.description.abstractThis paper analyses the evolution of the safety and soundness of the European banking sector during the various stages of the Basel process of capital regulation. We document the evolution of various measures of systemic risk as the Basel process unfolds. Most strikingly we find that the exposure to systemic risk as measured by SRISK has been steeply rising for the highest quintile, moderately rising for the second quintile, and remaining roughly stationary for the remaining three quintiles of listed European banks. This observation suggests that during the Basel process, systemic risk has been contained for the majority of European banks, but not for the largest and riskiest institutions. When analyzing the sources of systemic risk we find compelling evidence that the increase in exposure to systemic risk (SRISK) is tied to the implementation of internal models for determining credit risk, as well as market risk. Based on this evidence, the sub-prime crisis found especially the largest and more systemic banks ill-prepared and lacking resiliency. This condition has been aggravated during the European sovereign crisis. The Banking Union has not restored aggregate resiliency to pre-crisis levels. Finally, low-interest rates considerably affect the contribution to systemic risk, particularly for the riskier banks.
dc.relation.ispartofJournal of Financial Stabilityen
dc.rightsCopyright © 2021 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license.en
dc.subjectBank capitalen
dc.subjectSystemic risken
dc.subjectInternal risk-based modelsen
dc.subjectHG Financeen
dc.titleDid the Basel process of capital regulation enhance the resiliency of European banks?en
dc.typeJournal articleen
dc.description.versionPublisher PDFen
dc.contributor.institutionUniversity of St Andrews.School of Economics and Financeen
dc.description.statusPeer revieweden

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