The Determinants of Risk Weighted Asset in Europe

Angelo Leogrande, Alberto Costantiello (), Lucio Laureti and Marco Maria Matarrese

MPRA Paper from University Library of Munich, Germany

Abstract: We have estimated the level of Risk Weighted Assets among 30 countries in Europe, in 30 trimesters, using data of the European Banking Authority-EBA of 139 variables. We perform an econometric model using Pooled OLS, Panel Data with Fixed Effects, Panel Data with Random Effects, Weighted Least Squares. We found that Risk Weighted Assets is negatively associated, among others, to the level of NFC loans in mining and quarrying, in public administration and defence, and in financial and insurance activities and positively associated, among others to distribution of NFC loans in human health services and social work activities, in education and the level of net fee and commission income. Furthermore, we apply a cluster analysis with the k-Means algorithm, and we find the presence of two clusters. A comparison was then made between eight different machine learning algorithms for predicting the value of the RWAs and we found that the best predictor is the linear regression. The RWA value is predicted to increase by 1.5%.

Keywords: Financial Institutions and Services; General; Banks, Depository Institutions, Micro Finance Institutions, Mortgages; Investment Banking, Government Policy, and Regulation (search for similar items in EconPapers)
JEL-codes: G0 G20 G21 G24 G28 (search for similar items in EconPapers)
Date: 2022-05-01
New Economics Papers: this item is included in nep-ban, nep-big, nep-eec, nep-ias and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/112924/1/MPRA_paper_112924.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:112924

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().