ACPR research seminars

The ACPR Studies Department organizes a series of academic seminars where invited or ACPR-affiliated researchers present their work on regulatory or financial risk issues. The seminars are open to everyone.

The seminar takes place in the premises of the ACPR, 4, place de Budapest, Salle Liège (rez-de-jardin) (see access plan)

Registration by email at seminaire-recherche-acpr@banque-france.fr is free but compulsory in order to attend. If you wish to be informed of upcoming events, please send an email to the same address.

The ACPR also hosts the monthly seminars of the ACPR research Initiative: the page dedicated to the ACPR seminars is available here.

 

LASt EVENT

wednesday, january 24th 2018 - 10h00 am: Aurélien Violon (ACPR)

"The impact of the identification of GSIBs on their business model" (joint with D. Durant & O. Toader)
Discussant : Christophe Pérignon (HEC)

venue: Salle Modulaire Châteaudun (ACPR, 53, rue de Châteaudun, 75009 Paris)

Abstract :

Most research papers dealing with systemic footprint in the banking system either investigate the definition and the measure of systemic risk, or try to identify systemic banks and to quantify the systemic risk buffers. To the best of our knowledge, this paper is the first to provide empirical evidence on how the recent international regulation designed for globally systemic important banks (GSIBs) drove changes on these institutions' activity. Our data consists of cross-sections of observations for 97 large international banks from 22 countries through 11 years from 2005 to 2015. We use a "difference-in-difference" econometric approach to quantify the impact of the FSB designation on GSIBs' activity, taking into account both structural differences between GSIBs and non-GSIBs and structural evolutions of the banking system over time. We find that, if everything else is equal, the FSB designation of GSIBs seems to have triggered a slowdown of the expansion of their balance sheet, which in turn brought an additional improvement of their leverage ratio. In turn, both balance sheet and income structures were only slightly modified, whereas a sizeable downward pressure is noticed on their profitability. Our results also indicate that GSIBs already reacted to this relative profitability deterioration by pushing up the average risk-weight of their assets. Overall, most significant effects elicited in this paper actually illustrate a mean-reverting process, tending to close structural gaps between GSIBs and non-GSIBs.

 

LASt EVENT

wednesday, october 18th 2017 - 11:00 am : Laurent weill (EM strasbourg business school, université de strasbourg)

"Does high profitability hamper stability for european banks ?"
Discussant : félix noth (iwh)

venue: Salle Modulaire Châteaudun (ACPR, 53, rue de Châteaudun, 75009 Paris)

 Abstract :

We investigate how high profitability influences the occurrence of bank distress in Europe. We utilize four indicators for high profitability in logit models to explain bank distress with a hand-collected dataset of European bank distresses. We find that high profitability does not reduce the occurrence of bank distress. We obtain limited evidence that high profitability can lead to enhance such occurrence through a time horizon of about 3 years. Our findings therefore qualify the view that bank profitability should be promoted to favor bank stability.

Publication Seminars
Back to the future: backtesting systemic risk measures during historical bank runs and the great depression

We evaluate the performance of two popular systemic risk measures, CoVaR and SRISK, during eight financial panics in the era before FDIC insurance. Bank stock price and balance sheet data were not readily available for this time period. We rectify this...

  • Published on 05/23/2018
  • FR
  • PDF (2.1 MB)
Publication Seminars
Credit Growth and the Financial Crisis: A New Narrative

A broadly accepted view contends that the 2007-09 nancial crisis in the U.S.was caused by an expansion in the supply of credit to subprime borrowers during the 2001-2006 credit boom, leading to the spike in defaults and foreclosures that sparked the...

  • Published on 05/02/2018
  • FR
  • PDF (1.85 MB)
Publication Seminars
The Impact of Legal Framework on Bank Loan Portfolio: An implementation to the European Stress Test Exercise

The economic crisis put financial and banking sector on the viewfinder of regulators and policymakers across EU and more widely across the world. Indeed, the improvement of the quality of banks' balance sheet has proved crucial for economic...

  • Published on 03/07/2018
  • FR
  • PDF (548.8 KB)
Publication Seminars
How post-crisis regulation has affected bank CEO compensation

This paper assesses whether compensation practices for bank Chief Executive Officers (CEOs) changed after the Financial Stability Board (FSB) issued post-crisis guidelines on sound compensation. Banks in jurisdictions which implemented the FSB’s...

  • Published on 01/25/2018
  • FR
  • PDF (981.25 KB)
Publication Seminars
The impact of the identication of GSIBs on their business model

Most research papers dealing with systemic footprint in the banking system either investigate the definition and the measure of systemic risk, or try to identify systemic banks and to quantify the systemic risk buffers. To the best of our knowledge,...

  • Published on 01/11/2018
  • FR
  • PDF (822.34 KB)
Publication Seminars
Risk-sharing benefits and the capital structure of insurance companies

Providing risk-sharing benefits to risk-averse policy holders is a primary function of insurance companies. We model that policy holders are paying a fee over the present value of indemnifications (i.e., technical provisions) to enjoy these risksharing...

  • Published on 01/10/2018
  • FR
  • PDF (907.97 KB)