Next ACPR research seminars
The ACPR Studies Department organizes a series of academic seminars where invited researchers, as well as those from the ACPR, present their latest work on regulatory or financial risk issues. These seminars are open to all.
The seminar takes place on the premises of the ACPR, 61 rue Taitbout or 53 rue de Chateaudun - 75009 Paris (see access plan)
Registration by email at firstname.lastname@example.org is free but compulsory to attend. If you would like 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.
wednesday, january 24 2018 - 10h00 am: Aurélien Violon (ACPR)
"The impact of the identification of GSIBs on their business model" (joint with D. Durant & O. Toader)
Discutant : Christophe Pérignon (HEC)
venue: Salle Modulaire Châteaudun (ACPR, 53, rue de Châteaudun, 75009 Paris)
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.
Updated on: 06/07/2018 15:08