Modelización de la solvencia bancaria en escenarios adversos: aplicación a los «PIIGS»
Open Access
- 1 July 2016
- journal article
- Published by Servicio de Publicaciones de la Universidad de Murcia in Revista de Contabilidad
- Vol. 19 (2), 227-238
- https://doi.org/10.1016/j.rcsar.2015.11.002
Abstract
ResumenEn los últimos años se han realizado diversas pruebas de estrés a la banca europea con el fin de evaluar su solvencia, condicionando sus resultados las medidas de reestructuración y recapitalización aplicadas al sector.Este trabajo pretende modelizar los niveles de solvencia estimados por las pruebas realizadas en 2011, expresados en términos de capital tier1, a partir de variables contables, exposición a soberanos e indicadores que definan los escenarios macroeconómicos considerados. El análisis, a través de un modelo de regresión multinivel, se centra en las entidades de los países más afectados por la crisis financiera, los denominados PIIGS (Portugal, Italia, Irlanda, Grecia y España). Los resultados muestran que las ratios contables, conforme a un modelo CAMEL, junto con las variables categóricas relativas a país y escenario y su interacción, ofrecen una buena capacidad predictiva.AbstractStress tests have recently become one of the usual procedures to assess the resilience of the EU banking systems against economic distress. Their results have also influenced and conditioned the last European banking sector restructuring and recapitalization process.The aim of this paper is to predict the core tier1 ratio assessed by the 2011 European stress tests by means of a multilevel regression model. Financial ratios, sovereign debt exposures and macroeconomic indicators are considered as explanatory variables. The sample consists of the financial institutions from the so-called PIIGS countries (Portugal, Italy, Ireland, Greece and Spain). The results show that a CAMEL model has good predictive capability when country and scenario dummies and their interaction are includedKeywords
This publication has 33 references indexed in Scilit:
- Optimal Disclosure of Supervisory Information in the Banking SectorSSRN Electronic Journal, 2012
- Ability of accounting and audit quality variables to predict bank failure during the financial crisisJournal of Banking & Finance, 2011
- Determinants of Bank Distress in Europe: Evidence from a New Data SetJournal of Financial Services Research, 2011
- A Pyrrhic Victory? Bank Bailouts and Sovereign Credit RiskSSRN Electronic Journal, 2011
- What caused the Irish banking crisis?Journal of Financial Regulation and Compliance, 2010
- Explaining bank distress in Eastern European transition economiesJournal of Banking & Finance, 2009
- Bank failures and bank fundamentals: A comparative analysis of Latin America and East Asia during the nineties using bank-level dataJournal of Banking & Finance, 2008
- Does deposit insurance increase banking system stability? An empirical investigationJournal of Monetary Economics, 2002
- Why do Banks Disappear? The Determinants of U.S. Bank Failures and AcquisitionsThe Review of Economics and Statistics, 2000
- Problem loans and cost efficiency in commercial banksJournal of Banking & Finance, 1997