The bail-out of the Spanish financial system was the largest in the Eurozone. The Spanish savings banks were the main direct recipients of public support between 2010 and 2012 and most of the bail-out money was transferred to the savings banks after a series of mergers and acquisitions were completed among these entities. This article analyses the evolution of the savings banks in the years of economic growth preceding the crisis and their performance in the early aftermath of the 2007 crash using previously unexplored data from the annual financial statements of the 45 savings banks. We conclude it is possible to observe distinct behaviours among the savings banks during the boom years and we estimate the largest part of the bail-out money corresponds to losses registered by a small number of savings banks that were already severely impaired before the merger process got under way.
Fecha de recepción: Abril 2015 Fecha de aceptación: Junio 2015
RESUMENLa revisión de la regulación del riesgo de mercado de Basilea III contempla reemplazar los modelos VaR con una nueva métrica para el cómputo de los requerimientos mínimos de capital. En este trabajo se calcularán los requerimientos de capital por riesgo de mercado para una cartera de acciones del índice S&P500, entre el periodo 2000-2014 en base a la metodología RiskMetrics y alternativamente con modelos GARCH(1,1). Los resultados obtenidos muestran que el capital regulatorio calculado en base a las normas de Basilea II cubre en todo momento las pérdidas de la cartera.
PALABRAS CLAVE:Valor en riesgo, Basilea, regulación financiera, riesgo de mercado.
ABSTRACTThe undergoing overhaul of the Basel III market risk regulatory framework addresses the possibility of replacing VaR models with an alternative method for calculating minimum capital requirements. This paper will calculate the regulatory capital for a hypothetical equity portfolio of 20 of the main stocks in the S&P500, between 2000 and 2014. The RiskMetrics methodology and GARCH(1,1) models are used to estimate volatilities, covariances and correlations. Our results show that the regulatory capital calculated using Basel II rules is at all times above realized portfolio losses.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.