Systemically important banks and financial stability: The case of Latin America

Tabak, Benjamin Miranda; Fazio, Dimas M.; Cajueiro, Daniel O.

doi:10.1016/j.jbankfin.2013.06.003

Cited by 70 publications

(46 citation statements)

References 48 publications

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“…This method is shown to enhance rank stability and discriminatory power and improve the precision of efficiency scores. It has also been used by Hasan et al (2009) and Tabak et al (2013). We also use the indicator approach to address the problem of negative pre-tax profits.…”

Section: Model Specification 421 Specifications On Profit and Riskmentioning

confidence: 99%

“…To perform the risk analysis of commercial banks, we use the Z-score measure (Stiroh, 2004;Stiroh and Rumble, 2006;Mercieca et al, 2007;Lepetit et al, 2008;Tabak et al, 2013), which is calculated as follows:…”

Section: Model Specification 421 Specifications On Profit and Riskmentioning

confidence: 99%

“…We take the mean and standard deviation of variables in equation (6) for each 3 years (the present and two precedent years) to calculate the Z-score following Tabak et al (2013). It can vary not only among banks but also among years.…”

Section: Model Specification 421 Specifications On Profit and Riskmentioning

confidence: 99%

“…One of the goals of this paper is to use stochastic frontier analysis to measure the efficiency of commercial banks in China and then to conduct a lengthy examination of the effects of non-interest income on efficiency. Moreover, as suggested by Fang et al (2011) and Tabak et al (2012Tabak et al ( , 2013, financial ratios representing risk, such as r R OA 2 and Z-score, only indicate the achieved financial stability but reflect little about a bank's potential to achieve its highest stability level. For example, given two banks with the same Z-score, one may achieve its highest potential stability level, whereas the other bank may not minimize its risk level but could reach a higher stability level were it to allocate its resources more efficiently.…”

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confidence: 99%

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Non‐interest Income, Profit, and Risk Efficiencies: Evidence from Commercial Banks in China

Bian

Wang

Sun

2015

Asia-Pac J of Fin Stud

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Chinese commercial banks are transforming their activities into more non-interest income businesses under a highly regulated financial system. This paper investigates the effects of this transformation on profit and risk efficiencies. We find that commission and fee income significantly reduce risk efficiency due to the circumvention of the regulation on deposit interest rate and the assumption of risk that should have been borne by customers. In terms of trading income, it significantly reduces profit efficiency due to the upper limit of the loan-deposit ratio, the lack of investment channels and low returns of bond markets. The regulatory authorities are supposed to further liberalize the banking industry and grant banks more rights.

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Section: Model Specification 421 Specifications On Profit and Riskmentioning

confidence: 99%

Section: Model Specification 421 Specifications On Profit and Riskmentioning

confidence: 99%

Section: Model Specification 421 Specifications On Profit and Riskmentioning

confidence: 99%

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confidence: 99%

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Non‐interest Income, Profit, and Risk Efficiencies: Evidence from Commercial Banks in China

Bian

Wang

Sun

2015

Asia-Pac J of Fin Stud

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“…The main goal is to limit the effect of contagion from the failure of this institutions, to discourage exposures to such institutions or to excessively large exposures within the financial system, more generally (See Arregui et al 2013, Tabak et al 2013, FSB 2014, Castro & Ferrari 2014). An important advance is the determination of capital surcharges for global systemically important financial institutions (G-SIFIs) and domestic systemically important banks (D-SIBs) by the FSB and BIS, as an effort to achieve some degree of consistency of approach (BIS 2012, BCBS 2011b, FSB 2011b.…”

Section: Macroprudential Policy Toolkitmentioning

confidence: 99%

Macroprudential Policy: A Blessing or a Curse?

Popoyan

2016

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractAfter the destructive impact of the global financial crisis of 2008, many believe that pre-crisis financial market regulation did not take the "big picture" of the system sufficiently into account and, subsequently, financial supervision mainly "missed the forest for the trees." As a result, the need for macroprudential aspects of regulation emerged, which has recently become the focal point of many policy debates. This has also led to intense discussion on the contours of monetary policy after the post-crisis "new normal." Here, I review recent progress in empirical and theoretical research on the effectiveness of macroprudential tools, as well as the current state of the debate, in order to extract common policy conclusions. The work highlights that, despite the achievements in the literature, the current experience and knowledge of how macroprudential instruments work, their calibration, and the mechanisms through which they interact with each other and with monetary policy are rather limited and conflicting. Moreover, I critically survey and note the current challenges faced by macroprudential regulation in creating stable, yet efficient financial systems. At the same time, I emphasize the importance of accepting that many risks may remain, requiring that we proceed prudently and develop better plans for future crises.

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Bank tail risk in China

Yang,

Cai,

Huang

2024

International Studies of Economics

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In this study, we investigate the tail dependency between bank stocks in China and 35 common risk factors. We measure univariate and multivariate conditional tail risk probabilities. The evidence indicates that tail events from risk factors in the banking, security trading, real estate, and energy industries have the largest effects on the realization of extreme returns from Chinese bank stocks. The univariate conditional tail risk is considerably higher than the unconditional tail risk. The impact of multiple tail events from several risk factors occurring simultaneously is much stronger than tail events from one single risk factor. In general, there is a stronger cross‐market tail linkage between emerging market risk factors and bank stocks in China when compared with developed market risk factors. However, the cross‐market tail linkage between developed market risk factors and bank stocks in China rose sharply during the 2008 financial crisis.

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Systemically important banks and financial stability: The case of Latin America

Cited by 70 publications

References 48 publications

Non‐interest Income, Profit, and Risk Efficiencies: Evidence from Commercial Banks in China

Non‐interest Income, Profit, and Risk Efficiencies: Evidence from Commercial Banks in China

Macroprudential Policy: A Blessing or a Curse?

Bank tail risk in China

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