Our paper summarizes the evolution of the regulatory framework of banks starting from the Basel agreements and going until the introduction of the capital directive in Europe (CRD IV). One of the main milestone of the regulatory framework was the introduction of the concept of Systemic important banks for which higher capital requirements are needed. This paper goes further in Measuring systemic importance of financial institutions taking a sample of 17 systemic banks in a given time framework and looks to the share prices, stock exchanges Indexes and government bond yields correlation. It derives an high correlation among these measures showing the importance to protect these types of institutions in order to prevent market crisis on the financial markets potentially spreading negatively on real economy, companies and countries’ GDP.

Banks: Too big to fail? A regulatory update and empirical analysis on a set of systemic important banks

Buchi Giacomo;Iodice Alberto
2018

Abstract

Our paper summarizes the evolution of the regulatory framework of banks starting from the Basel agreements and going until the introduction of the capital directive in Europe (CRD IV). One of the main milestone of the regulatory framework was the introduction of the concept of Systemic important banks for which higher capital requirements are needed. This paper goes further in Measuring systemic importance of financial institutions taking a sample of 17 systemic banks in a given time framework and looks to the share prices, stock exchanges Indexes and government bond yields correlation. It derives an high correlation among these measures showing the importance to protect these types of institutions in order to prevent market crisis on the financial markets potentially spreading negatively on real economy, companies and countries’ GDP.
DIPARTIMENTO DI STUDI PER L’ECONOMIA E L’IMPRESA SETTORE AMMINISTRAZIONE
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Buchi Giacomo,Maggi Davide, Iodice Alberto
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2318/1664361
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