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Micro Drivers behind the Changes of CET1 Capital Ratio: An empirical analysis based on the results of EU-wide stress test
Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Företagsekonomi.
Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Företagsekonomi.
2019 (Engelska)Självständigt arbete på avancerad nivå (magisterexamen), 10 poäng / 15 hpStudentuppsats (Examensarbete)
Abstract [en]

Background: Stress tests have been increasingly used as a part of the supervisory tool by national regulators after the financial crisis, which can also be used to conduct authorities’ supervisory for determining bank capital levels, assessing the health of a bank.

Purpose: The main purpose of this study is to assess whether some micro factors play important roles on the changes of Common Equity Tier One Capital Ratio (between the bank accounting value and the stress testing results under the adverse scenarios).  Our secondary purpose is to investigate if our empirical results will help to provide some theoretical suggestions to regulators when they exercise stress tests.

 

Method: An empirical analysis by using Panel Data, introducing GARCH model to measure volatility.

 

Empirical foundation: The results of EU-wide stress tests and bank financial statements

 

Conclusion: The coefficient associated with non-performing loans to total loans is positively significant and the coefficient associated with bank size is negatively significant.  In addition, the financial system of strong banks is better to absorb financial shocks. These findings are useful, as banks is a reflection of the financial stability of an economic entity, we can use these findings as another reason to pay attention to the process of the stress testing rather just stress testing results.

Ort, förlag, år, upplaga, sidor
2019. , s. 66
Nyckelord [en]
EU-wide Stress Testing, Bank Capital Structure, EU Banks, Determinants, Panel Data Analysis, GARCH Model.
Nationell ämneskategori
Samhällsvetenskap
Identifikatorer
URN: urn:nbn:se:hj:diva-44140ISRN: JU-IHH-FÖA-2-20190919OAI: oai:DiVA.org:hj-44140DiVA, id: diva2:1321003
Ämne / kurs
IHH, Företagsekonomi
Examinatorer
Tillgänglig från: 2019-06-27 Skapad: 2019-06-06 Senast uppdaterad: 2019-06-27Bibliografiskt granskad

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