Risk Profile Indicators and Spanish Banks’ Probability of Default from a Regulatory Approach

Gómez-Fernández-Aguado, Pilar; Parrado-Martínez, Purificación; Ureña, Antonio Partal

doi:10.3390/su10041259

Cited by 6 publications

(3 citation statements)

References 43 publications

(61 reference statements)

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“…Previous authors used a system model and assessed the impact of risk on the probability of default (Basel standards), and showed that regulation and supervision are important factors for Spanish banks [41]. For the purpose of diversity, it is necessary to introduce new regulation of the financial system as a whole.…”

Section: Discussionmentioning

confidence: 99%

Risks of Banking Services’ Digitalization: The Practice of Diversification and Sustainable Development Goals

Aguayo

Ślusarczyk

2020

Sustainability

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The study aims to investigate threats that might occur in diversification management, operational risks of banking services in the process of digitalization, as well as the impact on customers and banks. The right choice of a risk management model for a bank plays an important role in the sustainable development of competitiveness and the transformation of banking activities in the future. This work assesses bank risks and determines information risks in relation to the total capital of Santander Bank of Spain. The authors adapted an operational risk management (ORM) model to minimize the risks of the bank’s digitalization and upcoming operational risks. The ratio of the total operational risk to the total bank’s capital was 0.65%, which is below the permissible minimum value and is acceptable. Based on this indicator, diversification of business risks can be applied. As a result of the study, the total value of operational risks was calculated and the acceptability of this indicator to the capital of Santander Bank was assessed, which allowed the authors to assess whether the value was critical. In addition, it was also revealed that the main external risk of Santander Bank in 2018 was fraud in the use of online payments. The results might help to more effectively evaluate insurance payments for identified operational risks and effectively make decisions and optimize reporting documents of banks.

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Section: Discussionmentioning

confidence: 99%

Risks of Banking Services’ Digitalization: The Practice of Diversification and Sustainable Development Goals

Aguayo

Ślusarczyk

2020

Sustainability

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“…This method was introduced by De Lisa et al [27], and has been the basis for the subsequent development of models incorporating riskweighted assets. This ratio constitutes one of the six instruments of macro-prudential policy in Europe used to measure financial stability [28] and is one of the key indicators in the assessment of bankruptcy risk in Spain [29]. It is also used for financial stress models [30,31].…”

Section: Literature Reviewmentioning

confidence: 99%

Solvency and profitability: the duality of the large Spanish banks between the two economic-financial crises of the 21st century

Saiz-Sepúlveda,

Orden-Cruz,

Hernández-Tamurejo

2024

Front. Appl. Math. Stat.

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A retrospective view of the “subprime mortgage” crisis enables us to assess the actions of banks, both those prompting the genesis of the crisis and those resulting from subsequent actions aimed at resolving it and rebooting the economy. However, given the fact that the crisis is framed by the sudden appearance of another outside the established parameters of the post-recession boom, we are able to analyze whether the actions adopted by regulators were as effective as initially thought. Solvency and profitability are two of the most important factors that reveals the quality of banking management. From the numerous parameters described in the literature reviewed, fourth banking ratios were selected to evaluate the relationship between solvency and profitability from 2011 to 2021, a period between the two economic-financial crises of the 21st century. Using a representative sample of Spanish banking and applying a descriptive and explicative methodology, the results show a complementarity between solvency and profitability. This evidence provides to bank managers more knowledge about the behavior of banking during crisis periods.

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“…Due to the new regulations presented in the Basel Accords, the concept of risk capital is also constantly evolving (Posacka and Szel ągowska 2006;Jonek-Kowalska and Zieli ński 2017;Charnes et al 1978;Samuelson and Nordhaus 2012;Begg et al 1995;Dudycz and Brycz 2006;Rutkowska 2013;Matwiejczuk 2005;Directive 2013;Regulation 2013). At the same time, it is a consequence of the development of the theory of risk management (Jumreornvong et al 2018;Angrick and Nemoto 2017;Arseneau 2017;Coeuré 2014;Dong and Wen 2017;International Monetary Fund 2017), paying particular attention to its assessment and reduction (Noco ń and Pyka 2018; Noco ń and Pyka 2019; Perold 1993a, 1993b;Matten 2000;Culp 2002aCulp , 2002bCulp , 2002cShimpi 2001;Doherty 2005;Ishikawa et al 2003;Wieczorek-Kosmala 2017;Wieczorek-Kosmala 2019;Jobst and Lin 2016;Pyka and Noco ń 2017;Gómez-Fernández-Aguado et al 2018;Erfani and Vasigh 2018).…”

Section: Literature Reviewmentioning

confidence: 99%

Bank Risk Capital and Its Effectiveness in Selected Euro Area Banking Sectors

Pyka

Nocoń

2021

JRFM

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Risk capital or capital at risk (CaR) refers to the amount of capital set aside and maintained by banks to cover different types of risk. For banks, it is used as a buffer against claims or expenses in the event that ordinary capital is not enough to cover them. Thereby, risk capital can also be recognized as risk-bearing capital or surplus funds. Risk capital may generate very high costs, but on the other hand it protects against insolvency. That’s why a bank needs to find the ‘Gold mean’—the optimal value of risk capital that will not lower its efficiency, but still ensure financial security. The main objective of the study is identification of interdependencies between bank risk capital and effectiveness of the aggregated Eurozone banking sector and selected national banking sectors of the euro area. The paper tries to answer the research question whether the risk capital supports or lowers banks’ operational effectiveness. The adopted research hypothesis stated that there is a positive correlation between profitability and size of bank risk capital. To verify the hypothesis regression models were used. The results indicate that the size and structure of bank capital impact on the credit institutions’ effectiveness in the analyzed banking sectors, however with different intensity. Thereby, the article fulfils a research gap in the field of research studies that take into account how capital at risk and specific capital adequacy regulations may impact on a bank’s efficiency.

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Risk Profile Indicators and Spanish Banks’ Probability of Default from a Regulatory Approach

Cited by 6 publications

References 43 publications

Risks of Banking Services’ Digitalization: The Practice of Diversification and Sustainable Development Goals

Risks of Banking Services’ Digitalization: The Practice of Diversification and Sustainable Development Goals

Solvency and profitability: the duality of the large Spanish banks between the two economic-financial crises of the 21st century

Bank Risk Capital and Its Effectiveness in Selected Euro Area Banking Sectors

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