The Relationship between Risk and Capital in Swiss commercial Banks: A Panel Study

Robert Bichsel and Jürg Blum

No 02.04, Working Papers from Swiss National Bank, Study Center Gerzensee

Abstract: In this paper we investigate the relationship between changes in risk and changes in leverage for a panel of Swiss banks. Using market data for risk and both accounting and market data for capital over the period between 1990 and 2002, we find a positive correlation 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, we do not find significant relationship between the default probability and the capital ratio.

Pages: 16 pages
Date: 2002-10
New Economics Papers: this item is included in nep-rmg
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.szgerzensee.ch/fileadmin/Dateien_Anwend ... g_papers/wp-0204.pdf Full text (application/pdf)
None

Related works:
Journal Article: The relationship between risk and capital in Swiss commercial banks: a panel study (2004)
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:szg:worpap:0204

Ordering information: This working paper can be ordered from
Studienzentrum Gerzensee, Postfach 21, 3115 Gerzensee

The price is Free.

Access Statistics for this paper

More papers in Working Papers from Swiss National Bank, Study Center Gerzensee Studienzentrum Gerzensee, Postfach 21, 3115 Gerzensee.
Bibliographic data for series maintained by library ().