The relationship between risk and capital in Swiss commercial banks: a panel study

Robert Bichsel and Jürg Blum

Applied Financial Economics, 2004, vol. 14, issue 8, 591-597

Abstract: The relationship between changes in risk and changes in leverage for a panel of Swiss banks is investigated. Using market data for risk and both accounting and market data for capital over the period between 1990 and 2002, a positive correlation is found between changes in capital and changes in risk, i.e., higher levels of capital are associated with higher levels of risk. Despite this positive correlation, however, a significant relationship between the default probability and the capital ratio is not found.

Date: 2004
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Working Paper: The Relationship between Risk and Capital in Swiss commercial Banks: A Panel Study (2002)
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DOI: 10.1080/0960310042000233881

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