Microeconomic determinants of losses in financial institutions during the crisis
In this study we try to explain the inclusion of banks in the WDCI list proposed by Bloomberg. This list collects a group of more than 100 banking institutions which, during the crisis, suffered losses. We explain the probability of being part of the list (to suffer severe or highly severe losses) by their structure and performance. These aspects are represented by 4 variables: ROA, tier1 ratio, number of employees and total assets, referred to the two years preceding the crisis, of a larger sample of more than 400 banks comprehending the banks in and outside the list. By considering the heterogeneity among the banks of the list, an explanation of the probability of highly sever losses is offered by considering the previous variables with the addition of interbanking assets. By using a probit model we find a confirmation of the new rules, inspired by the Basel 3 Accord and by the Financial Stability Board, requiring a solid patrimonial structure, in particular for the “too big to fail” financial institutions, accompanied by a medium return in order to assure a low probability to suffer losses.
|Date of creation:||May 2012|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Beck, Thorsten & Levine, Ross, 2004.
"Stock markets, banks, and growth: Panel evidence,"
Journal of Banking & Finance,
Elsevier, vol. 28(3), pages 423-442, March.
- Thorsten Beck & Ross Levine, 2002. "Stock Markets, Banks, and Growth: Panel Evidence," NBER Working Papers 9082, National Bureau of Economic Research, Inc.
- Sailesh Tanna & Kyriaki Kosmidou & Fotios Pasiouras, 2005. "Determinants of profitability of domestic UK commercial banks: panel evidence from the period 1995-2002," Money Macro and Finance (MMF) Research Group Conference 2005 45, Money Macro and Finance Research Group.
- Bikker, Jacob A. & Haaf, Katharina, 2002. "Competition, concentration and their relationship: An empirical analysis of the banking industry," Journal of Banking & Finance, Elsevier, vol. 26(11), pages 2191-2214, November.
- J.A. Bikker & K. Haaf, 2000. "Competition, concentration and their relationship: an empirical analysis of the banking industry," Research Series Supervision (discontinued) 30, Netherlands Central Bank, Directorate Supervision.
- J.A. Bikker & K. Haaf, 2001. "Competition, Concentration and their Relationship: an EmpiricalAnalysis of the Banking Industry," DNB Staff Reports (discontinued) 68, Netherlands Central Bank.
- Stulz, Rene M. & Williamson, Rohan, 2003. "Culture, openness, and finance," Journal of Financial Economics, Elsevier, vol. 70(3), pages 313-349, December.
- Rene M. Stulz & Rohan Williamson, 2001. "Culture, Openness, and Finance," NBER Working Papers 8222, National Bureau of Economic Research, Inc.
- Altunbas, Y. & Gardener, E. P. M. & Molyneux, P. & Moore, B., 2001. "Efficiency in European banking," European Economic Review, Elsevier, vol. 45(10), pages 1931-1955, December.
- Barros, Carlos Pestana & Ferreira, Candida & Williams, Jonathan, 2007. "Analysing the determinants of performance of best and worst European banks: A mixed logit approach," Journal of Banking & Finance, Elsevier, vol. 31(7), pages 2189-2203, July.
- Boyd, John H. & Runkle, David E., 1993. "Size and performance of banking firms : Testing the predictions of theory," Journal of Monetary Economics, Elsevier, vol. 31(1), pages 47-67, February.
- Stéphane J. Pallage, 1991. "An econometric study of the Belgian banking sector in terms of scale and scope economies," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 130, pages 125-143.
- Rochet, Jean-Charles & Tirole, Jean, 1996. "Interbank Lending and Systemic Risk," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(4), pages 733-762, November.
- Jean-Charles Rochet & Jean Tirole, 1996. "Interbank lending and systemic risk," Proceedings, Board of Governors of the Federal Reserve System (U.S.), pages 733-765.
- J.A. Bikker & H. Hu, 2003. "Cyclical Patterns in Profits, Provisioning and Lending of Banks," DNB Staff Reports (discontinued) 86, Netherlands Central Bank.
- Frederick T. Furlong, 2011. "Stress testing and bank capital supervision," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue june27. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:38539. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter)
If references are entirely missing, you can add them using this form.