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- W2036707591 abstract "Utilising a novel empirical approach and an extensive sample of listed European banks, we identify which bank characteristics offer a shelter from systemic shocks and compare the relative effects of several hypothetical prudential rules on a bank’s risk exposure. While the results show that restrictions on a bank’s leverage ratio and the imposition of liquidity requirements, as in the Basel III Accord, may improve the resilience of a bank to systemic events, they also demonstrate that bank size, the share of non-interest income and asset growth (none of which are at the centre of the new regulatory landscape) are key determinants of a bank’s risk exposure. In particular, the introduction of a cap on bank absolute size appears the most effective tool, ceteris paribus, to reduce the default risk of a bank given systemic events. Furthermore, in spite of the integration process of the financial industry in Europe, the analysis presented here shows that such a cap should be country-specific with smaller economies requiring smaller banks. Finally, we show that the strengthening of individual bank stability obtained via size restrictions is accompanied by a reduction of the contribution to systemic risk for banks which are relatively large compared to the domestic economy." @default.
- W2036707591 created "2016-06-24" @default.
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- W2036707591 date "2012-10-01" @default.
- W2036707591 modified "2023-09-23" @default.
- W2036707591 title "Bank resilience to systemic shocks and the stability of banking systems: Small is beautiful" @default.
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- W2036707591 doi "https://doi.org/10.1016/j.jimonfin.2012.03.011" @default.
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