Fonds propres réglementaires | EPFL Graph Search

Les fonds propres réglementaires correspondent aux fonds propres que doivent détenir les établissements financiers en lien avec l'exigence réglementaire définie par le Comité de Bâle. Introduction Historique sur les accords internationaux (Bâle I, puis Bâle II dit Mc Donough) Définition des fonds propres Les fonds propres de base (encore appelés tier one ou tiers 1) Le Tier 1 correspond à la partie jugée la plus solide (le noyau dur) des capitaux propres des institutions financières. Le ratio correspond au rapport entre le Tier 1 et le total des actifs ajustés du risque est un ratio financier qualifiant le risque d'instabilité de ces institutions en cas de crise financière. La notion a été définie par les accords de Bâle 1 : le minimum requis selon les accords de Bâle I est de 4 %. La crise financière mondiale débutant en 2007 a montré l'importance de la qualité des fonds propres pour mieux garantir la stabilité des systèmes bancaires mondial pour

Essays in Banking and Financial Regulation

Susanne Johanna Petronella Léonie Vissers

This thesis examines how banks choose their optimal capital structure and cash reserves in the presence of regulatory measures. The first chapter, titled Bank Capital Structure and Tail Risk, presents a bank capital structure model in which bank assets are subject to both diffusion and tail risk. Of these two types of risk, tail risk causes uninsured deposits to be risky, as the bank's asset value can unexpectedly fall below the value of deposits in case of default. The model shows that tail risk, rather than diffusion risk, is the main driver of the risk on deposits when the bank is unregulated and of the endogenous deposit insurance premium when the bank is regulated. Keeping total volatility constant, the model shows that a high tail risk component leads to higher credit spreads, default risk, and magnitude of bank losses in default than a high diffusion risk component.The second chapter, titled Bank Regulation and Market Discipline in the Presence of Risk-Taking Incentives, presents a bank capital structure model in which equity holders can increase asset risk once debt is in place. I study the effects of capital requirements and subsidized deposit insurance on the bank's privately optimal funding and operational risk level. The model predicts that there are synergetic effects of regulation and market discipline. When the regulator sets the capital charge and deposit insurance premium payments sufficiently high for a risky portfolio, the bank commits to the low-risk asset portfolio by setting a lower leverage ratio and substituting market debt for deposits. This market discipline effect disappears when the regulatory costs become too high. In the third chapter that is titled Dividend Restrictions and Asymmetric Information, we develop a dynamic model of a bank whose management has superior information about the impact of a pending shock to the bank's cash holdings and can signal the bank's type through its dividend policy. Banks that will be adversely affected by the shock have incentives to pool with unaffected banks to increase their market value. To avoid being mimicked, the unaffected banks can credibly signal via a more aggressive payout strategy. Dividend payout restrictions have the potential to prevent a separating equilibrium from forming. This leads to the bad type adopting a more aggressive payout policy with a higher risk of default but mitigates the distortion of the good type's policy. We identify a number of scenarios where this trade-off presents an opportunity for regulatory intervention and some where it does not.

EPFL2021

Essays on Mortgage Supply in a Low Rate Environment and Gender Effects of Covid-19

Yu Wu

After the financial crisis, policy rates in the major advanced economies have moved downwards to near/below zero. Some countries have experienced an increase in house prices and an expansion of mortgages. Also, there have been considerable changes in the mortgage market share, with only a few bank categories contributing to this mortgage expansion. Such change in exposure to real estate risk may pose a risk to financial stability. My dissertation research studies the role played by specific bank features, such as reliance on deposits and covered bonds or capital surplus relative to the required level, in explaining banks' different mortgage lending behavior. The first chapter (joint with Prof. Luisa Lambertini) studies the Swiss mortgage market dynamics in a low rate environment. After 2008, small banks (cantonal banks and Raiffeisen) have primarily contributed to this mortgage expansion at the expense of two big global systemic banks (UBS and Credit Suisse). We set up a model featuring big and small banks that compete in the deposit and mortgage market and face different capital requirements. We calibrate it to the Swiss banking sector. In this model, a falling policy rate drives up borrowing demand and leads to an expansion in mortgage supply; however, an asymmetric tightening of capital requirement gives small banks a competitive advantage and causes a shift in market share towards small banks. In the second chapter, with Prof. Luisa Lambertini, we use the Swedish bank-level data and employ a triple diff strategy to investigate whether funding side differences also play a role in explaining banks' different lending responses to the negative rate policy. First, we find that high-deposit banks expand their mortgage supply less than low-deposit banks during negative rate periods, confirming the well-documented deposit channel effect. However, this pattern works only for weakly-capitalized banks, which have a low capital buffer. Second, we show that banks more reliant on covered bonds to finance mortgage lending lend out more under negative rates; they can shift into cheap deposits to reduce their funding costs. We extend our model in the first chapter to be consistent with these empirical findings and use it to study the implications of the Covid-19 pandemic for the mortgage market. The third chapter analyzes the transmission of housing price dynamics to the real economy in the context of China, which went through a decade-long housing boom. Understanding its propagation to other economic activities is thus important. I build up a real business cycle model for this study and find that land-use conversion by the governments and land finance of housing firms can amplify the crowding-out effects of housing price fluctuations on the non-housing sector. The year 2020 was marked by the outbreak of the Covid-19 pandemic, which adversely affected the labor market. The fourth chapter is an additional line of work, with Dr. Corinne Dubois and Prof. Luisa Lambertini exploring gendered consequences of the pandemic in the Swiss labor market. We use the Swiss labor force survey data and find that all else equal, women have been more likely to exit the labor market altogether or to use short-term working schemes than their male counterparts. Contrary to expectations, increased family-care responsibility is not the main driver. Telework availability of occupation, however, explains some of the differential impact of Covid-19 on men and women.

EPFL2021

The Pass-through of Bank Capital Requirements to Corporate Lending Spreads

Robert Bichsel, Luisa Lambertini, Abhik Mukherjee

This paper studies the impact of higher bank capital requirements on corporate lending spreads. We conduct an empirical analysis using granular bank- and loan-level data for Switzerland. Overall, we nd a positive relationship between capital ratios, actual and required, and lending spreads. The relationship is statistically signicant but economically small. According to our results, a one-percentage point increase of capital ratios (risk- weighted) leads to an increase in lending spreads between 0 and 5 basis points. This gure is higher - between 5 and 20 basis points - for unweighted capital ratios (leverage ratios), partly but not only re ecting scaling eects. We nd support in favor of gradual phasing-in of new requirements as banks with capital shortfalls relative to their short-run regulatory requirements charge higher spreads relative to institutions with surpluses while the eects are weaker for look-through capital shortfalls. Holding additional capital when requirements are raised is associated with lower spreads vis-a-vis peers.

2019

Essays on Mortgage Supply in a Low Rate Environment and Gender Effects of Covid-19

Yu Wu

EPFL2021

Essays in Banking and Financial Regulation

Susanne Johanna Petronella Léonie Vissers

EPFL2021