Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Micro Drivers behind the Changes of CET1 Capital Ratio: An empirical analysis based on the results of EU-wide stress test
Jönköping University, Jönköping International Business School, JIBS, Business Administration.
Jönköping University, Jönköping International Business School, JIBS, Business Administration.
2019 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
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.

Place, publisher, year, edition, pages
2019. , p. 66
Keywords [en]
EU-wide Stress Testing, Bank Capital Structure, EU Banks, Determinants, Panel Data Analysis, GARCH Model.
National Category
Social Sciences
Identifiers
URN: urn:nbn:se:hj:diva-44140ISRN: JU-IHH-FÖA-2-20190919OAI: oai:DiVA.org:hj-44140DiVA, id: diva2:1321003
Subject / course
JIBS, Business Administration
Examiners
Available from: 2019-06-27 Created: 2019-06-06 Last updated: 2019-06-27Bibliographically approved

Open Access in DiVA

Luo & Ran(1663 kB)24 downloads
File information
File name FULLTEXT01.pdfFile size 1663 kBChecksum SHA-512
c427ae4a68a1fe0ed0b443a4ae1754aa4d5245a92e4370cd3506df44840c665451a9736b1eb554e0d3cc24b10b18b6d6589e514ec51b0998aaf2d0234fdb256f
Type fulltextMimetype application/pdf

By organisation
JIBS, Business Administration
Social Sciences

Search outside of DiVA

GoogleGoogle Scholar
Total: 24 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 52 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf