La Direction d'Études et d'Analyse des Risques de l’ACPR organise une série de séminaires académiques où des chercheurs invités, de même que ceux de l’ACPR, présentent leurs derniers travaux, sur des thématiques de régulation ou de risque financier. Ces séminaires sont ouverts à tous.
Le séminaire a lieu dans les locaux de l’ACPR, 61 rue Taitbout ou 53 rue de Chateaudun - 75009 Paris (voir plan d'accès)
L’inscription par mail à firstname.lastname@example.org est gratuite mais obligatoire pour y assister. Si vous souhaitez être informés des prochains évènements, merci d’envoyer un mail à la même adresse.
L’ACPR héberge également les séminaires mensuels de la Chaire ACPR : la page dédiée aux séminaires de la Chaire ACPR est accessible ici.
Mercredi 24 janvier 2018 à 10h00: Aurélien Violon (ACPR)
"The impact of the identification of GSIBs on their business model" (joint with D. Durant & O. Toader)
Lieu : 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.
Mercredi 8 novembre 2017 à 14h30: Yoshiyuki Fukuda (Bank of Japan)
In this October 2017 issue of the Report, regarding the potential vulnerabilities of the financial system, structural factors underlying financial institutions' low profitability and intensified competition as well as their impact are analyzed with particular focus, in addition to a regular assessment of financial institutions' risk profile and financial bases and macro stress testing assuming a tail event. More specifically, through an international comparison of financial institutions' profits and business resources, the Report (1) shows that Japanese financial institutions have little non-interest income and depend on net interest income as a profit source; and (2) examines the possibility that the number of employees and branches is excessive relative to demand. Furthermore, we review how, through competition among financial institutions, a nationwide and persistent decline in population and the number of firms will affect the relationship between firms and financial institutions, and the systemic risk.