Forte, Antonio and Cepparulo, Alessandra (2012): Microeconomic determinants of losses in financial institutions during the crisis.
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In this study we try to explain the inclusion of banks in the WDCI list proposed by Bloomberg. This list collects a group of more than 100 banking institutions which, during the crisis, suffered losses. We explain the probability of being part of the list (to suffer severe or highly severe losses) by their structure and performance. These aspects are represented by 4 variables: ROA, tier1 ratio, number of employees and total assets, referred to the two years preceding the crisis, of a larger sample of more than 400 banks comprehending the banks in and outside the list. By considering the heterogeneity among the banks of the list, an explanation of the probability of highly sever losses is offered by considering the previous variables with the addition of interbanking assets. By using a probit model we find a confirmation of the new rules, inspired by the Basel 3 Accord and by the Financial Stability Board, requiring a solid patrimonial structure, in particular for the “too big to fail” financial institutions, accompanied by a medium return in order to assure a low probability to suffer losses.
|Item Type:||MPRA Paper|
|Original Title:||Microeconomic determinants of losses in financial institutions during the crisis|
|Keywords:||Bank, Tier1, financial crisis, losses|
|Subjects:||G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
G - Financial Economics > G0 - General > G01 - Financial Crises
|Depositing User:||Antonio Forte|
|Date Deposited:||04. May 2012 02:07|
|Last Modified:||12. Feb 2013 19:44|
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