SYSTEMICALLY IMPORTANT BANKS IN EUROPE: RISK, COMPLEXITY AND CROSS-JURISDICTIONAL ACTIVITIES

BĂLUȚĂ Ana-Ștefania () and Simona Nistor ()
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BĂLUȚĂ Ana-Ștefania: Babeș-Bolyai University of Cluj-Napoca, Romania

Review of Economic and Business Studies, 2019, issue 23, 163-183

Abstract: This paper aims to investigate the effects of the assets and liabilities structure of financial institutions considered for regulatory purposes on their probability of default, across a sample of European banks that are designated as Global Systemically Important Banks (G-SIBs). Our analysis spans from 1995 to 2018. The empirical findings of a Fixed Effects panel model indicate that characteristics like size, complexity and cross-jurisdictional activities have a considerable impact on banks’ distance to default. This study also finds that financial institutions with greater Capital Tier1 ratios are more likely to have a lower probability of default, a result that highlights the importance of implementing the BASEL III Capital Accord specifications.

Keywords: Z score; financial stability; complexity; cross-jurisdictional activity. (search for similar items in EconPapers)
JEL-codes: G01 G21 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:aic:revebs:y:2019:j:23:balutaa

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