Financial Stability and Concentration: Evidence from Emerging Europe

Căpraru, Bogdan; Moise, Norel Ionut; Mutu, Simona; Petria, Nicolae

doi:10.2139/ssrn.2898033

Cited by 4 publications

(3 citation statements)

References 18 publications

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“…In Table 1, we present the main results for the regression estimations made. The most interesting results are from the columns (6) to (9).…”

Section: Empirical Methodology and Resultsmentioning

confidence: 97%

“…As future research proposition, we intend to examine the impact of the regulatory and supervisory framework at national and international level on the relationship between banks' characteristics and individual distance to default. For example, in Căpraru et al (2016) the association between banking market concentration and an increase probability of default among banks is highlighted. This study also points out that this negative effect can be reduced by employing a stricter supervisory framework.…”

Section: Figure 2 the Relationship Between The Default Risk Size Anmentioning

confidence: 99%

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Systemically Important Banks in Europe: Risk, Complexity and Cross-Jurisdictional Activities

Băluţă

Nistor

2019

Review of Economic and Business Studies

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This paper aims to investigate the effects of the assets and liabilities structure of financial institutions considered for regulatory purposes on their probability of default, across a sample of European banks that are designated as Global Systemically Important Banks (G-SIBs). Our analysis spans from 1995 to 2018. The empirical findings of a Fixed Effects panel model indicate that characteristics like size, complexity and cross-jurisdictional activities have a considerable impact on banks’ distance to default. This study also finds that financial institutions with greater Capital Tier1 ratios are more likely to have a lower probability of default, a result that highlights the importance of implementing the BASEL III Capital Accord specifications.

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“…In Table 1, we present the main results for the regression estimations made. The most interesting results are from the columns (6) to (9).…”

Section: Empirical Methodology and Resultsmentioning

confidence: 97%

Section: Figure 2 the Relationship Between The Default Risk Size Anmentioning

confidence: 99%

Systemically Important Banks in Europe: Risk, Complexity and Cross-Jurisdictional Activities

Băluţă

Nistor

2019

Review of Economic and Business Studies

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“…To approximate the stability of banks, the Z-score can be used (as, for instance in Berger et al, 2009;Fiordelisi & Mare, 2014;Capraru et al, 2016). The indicator is estimated as follows:…”

Section: Methodology and Data Descriptionmentioning

confidence: 99%

The evaluation of stability of Czech and Slovak banks

Kočišová

Gavurová

Behún

2018

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Research background: Commercial banks could affect the stability of the whole banking system due to the way they carry out their business activities. The supervision authorities play a key role in protecting banking stability by ensuring banks´ resilience to shocks, ability to recover their position in response to crisis and ultimately the supervision authorities help prevent failure of these banks. Therefore, in recent years' researchers have been trying to define conditions that could guarantee stability of banks. Purpose of the article: This paper aims to describe the methodology used to measure banking stability, namely banking stability index (BSI) and Z-score. In the first part, we present the literature review, then we try to assess the stability in the condition of the Czech Republic and Slovakia during the period 2006-2016. Methods: The BSI is constructed according to the methodology presented by Ghosh (2011), taking into account the main components, which are described by the set of financial indicators of banks. The results according to countries have showed that the tendency of development in the Czech and Slovak banking sector was the same. At the beginning of the analyzed period, the Slovak banks were more stable compared to Czech ones. Since 2009 the situation has been different, where the Czech banks could be considered as more stable compared to Slovak ones. The tendency of development of Z-score in both countries could be considered as the same, without the 2009 year, when the Czech banks significantly strengthened their capitalization, which influenced the development of Z-score. The results of correlation analysis between Z-score and BSI pointed to the fact that there was no high correlation between these two measures, therefore it is appropriate to use both methodologies for stability evaluation.

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Assessing the stability of the banking system based on fuzzy logic methods

Blahun

2020

Banks and Bank Systems

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The functioning of the country’s banking system is the basis for ensuring its economic development and stability. The state of the banking system often causes financial crises; therefore, ensuring its stable work is one of the main tasks of monetary policy. Meanwhile, it is important to find approaches to a comprehensive assessment and forecasting of the stability of the banking system that would allow obtaining adequate results.Based on a sample of data generated for the period from 2008 to the 1st quarter of 2020 with a quarterly breakdown, an integrated stability index of Ukraine’s banking system was estimated. The analysis was based on 23 variables that characterize certain aspects of the functioning of the Ukrainian banking system.Using the principal component analysis, five factors have been identified that have the greatest impact on ensuring the stability of the banking system. They were used to form an integrated index based on the application of the Mamdani fuzzy logic method. The results obtained adequately reflected the state of stability of the banking system for the analyzed period, which coincided in time with the crisis phenomena occurring in the Ukrainian banking system. The obtained value of the integrated index characterizes the stability of Ukraine’s banking system at the average level, since it depends not only on the internal state of the system, but also on the influence of external factors, both national and international.

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Financial Stability and Concentration: Evidence from Emerging Europe

Cited by 4 publications

References 18 publications

Systemically Important Banks in Europe: Risk, Complexity and Cross-Jurisdictional Activities

Systemically Important Banks in Europe: Risk, Complexity and Cross-Jurisdictional Activities

The evaluation of stability of Czech and Slovak banks

Assessing the stability of the banking system based on fuzzy logic methods

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