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Determinants Of European Banks' Capital Adequacy / Determinanty Adekwatności Kapitałowej Banków Europejskich

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  • Klepczarek Emilia

    (University of Lodz, Faculty of Economics and Sociology, Department of Economic Mechanisms)

Abstract

W artykule przedstawiono analizę czynników wpływających na poziom wskaźnika CET 1 ratio, będącego miarą relacji pomiędzy kapitałem podstawowym banku a aktywami ważonymi ryzykiem. Badaniu poddano próbę losowo wybraną z grupy banków uczestniczących w tzw. stress-testach przeprowadzonych przez władze Europejskiego Banku Centralnego. EBC przeprowadził testy warunków skrajnych oceniając m.in. poziom współczynnika CET1 obliczanego według regulacji wynikających z III Reżimu Bazylejskiego. Wyniki potwierdzają hipotezę o wpływie wielkości banku i wskaźników ryzyka (aktywa ważone ryzykiem do aktywów ogółem; udział pożyczek w aktywach ogółem) na poziom adekwatności kapitałowej. Potwierdzono również silny wpływ konkurencji, a także ujemną korelację między wskaźnikiem CET1 i udziałem depozytów w zobowiązaniach kapitałowych, którą można uzasadnić istnieniem systemu gwarantowania depozytów. W końcowej części artykułu przedstawiono możliwe słabości przeprowadzonych badań, wynikające z nich ograniczenia wnioskowania oraz koncepcje ewentualnych dalszych analiz przedmiotowego obszaru tematycznego.

Suggested Citation

  • Klepczarek Emilia, 2015. "Determinants Of European Banks' Capital Adequacy / Determinanty Adekwatności Kapitałowej Banków Europejskich," Comparative Economic Research, Sciendo, vol. 18(4), pages 81-98, December.
    • Handle: RePEc:vrs:coecre:v:18:y:2015:i:4:p:81-98:n:5
    DOI: 10.1515/cer-2015-0030
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    References listed on IDEAS

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