Systemic banks, capital composition and CoCo bonds issuance: The effects on bank risk

This paper shows that systemic banks are prone to increase their regulatory capital ratio through a decline in risk-weighted assets density and an intense use of lower level capital. The market access of systemic banks, and the fact that they were singled out for higher capital requirements seem to...

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Detalles Bibliográficos
Autores: Echevarría Icaza, Victor, Sosvilla Rivero, Simón Javier
Tipo de recurso: informe técnico
Fecha de publicación:2017
País:España
Institución:Universidad Complutense de Madrid (UCM)
Repositorio:Docta Complutense
Idioma:inglés
OAI Identifier:oai:docta.ucm.es:20.500.14352/22900
Acceso en línea:https://hdl.handle.net/20.500.14352/22900
Access Level:acceso abierto
Palabra clave:G12
G21
G28
Contingent capital
Banking regulation
Risk-taking incentives
Asset substitution
Systemic risk
Bancos y cajas
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spelling Systemic banks, capital composition and CoCo bonds issuance: The effects on bank riskEchevarría Icaza, VictorSosvilla Rivero, Simón JavierG12G21G28Contingent capitalBanking regulationRisk-taking incentivesAsset substitutionSystemic riskBancos y cajasThis paper shows that systemic banks are prone to increase their regulatory capital ratio through a decline in risk-weighted assets density and an intense use of lower level capital. The market access of systemic banks, and the fact that they were singled out for higher capital requirements seem to have biased them towards lower level capital, consistent with the theory that asymmetric information drives capital decisions. These effects are particularly strong for institutions that had a rather low level of capitalization at the start of the period and for those that exhibited a strong use of Additional Tier I capital before the regulatory changes. Strict capital composition requirements for firms with lower buffers would be an improvement.Instituto Complutense de Estudios Internacionales (ICEI)Universidad Complutense de Madrid20172017-01-0120172017-01-01technical reporthttp://purl.org/coar/resource_type/c_18ghVoRhttp://purl.org/coar/version/c_970fb48d4fbd8a85info:eu-repo/semantics/reportapplication/pdfhttps://hdl.handle.net/20.500.14352/22900reponame:Docta Complutenseinstname:Universidad Complutense de Madrid (UCM)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2Atribución-NoComercial 3.0 Españahttps://creativecommons.org/licenses/by-nc/3.0/es/info:eu-repo/semantics/openAccessoai:docta.ucm.es:20.500.14352/229002026-06-02T12:44:21Z
dc.title.none.fl_str_mv Systemic banks, capital composition and CoCo bonds issuance: The effects on bank risk
title Systemic banks, capital composition and CoCo bonds issuance: The effects on bank risk
spellingShingle Systemic banks, capital composition and CoCo bonds issuance: The effects on bank risk
Echevarría Icaza, Victor
G12
G21
G28
Contingent capital
Banking regulation
Risk-taking incentives
Asset substitution
Systemic risk
Bancos y cajas
title_short Systemic banks, capital composition and CoCo bonds issuance: The effects on bank risk
title_full Systemic banks, capital composition and CoCo bonds issuance: The effects on bank risk
title_fullStr Systemic banks, capital composition and CoCo bonds issuance: The effects on bank risk
title_full_unstemmed Systemic banks, capital composition and CoCo bonds issuance: The effects on bank risk
title_sort Systemic banks, capital composition and CoCo bonds issuance: The effects on bank risk
dc.creator.none.fl_str_mv Echevarría Icaza, Victor
Sosvilla Rivero, Simón Javier
author Echevarría Icaza, Victor
author_facet Echevarría Icaza, Victor
Sosvilla Rivero, Simón Javier
author_role author
author2 Sosvilla Rivero, Simón Javier
author2_role author
dc.contributor.none.fl_str_mv Universidad Complutense de Madrid
dc.subject.none.fl_str_mv G12
G21
G28
Contingent capital
Banking regulation
Risk-taking incentives
Asset substitution
Systemic risk
Bancos y cajas
topic G12
G21
G28
Contingent capital
Banking regulation
Risk-taking incentives
Asset substitution
Systemic risk
Bancos y cajas
description This paper shows that systemic banks are prone to increase their regulatory capital ratio through a decline in risk-weighted assets density and an intense use of lower level capital. The market access of systemic banks, and the fact that they were singled out for higher capital requirements seem to have biased them towards lower level capital, consistent with the theory that asymmetric information drives capital decisions. These effects are particularly strong for institutions that had a rather low level of capitalization at the start of the period and for those that exhibited a strong use of Additional Tier I capital before the regulatory changes. Strict capital composition requirements for firms with lower buffers would be an improvement.
publishDate 2017
dc.date.none.fl_str_mv 2017
2017-01-01
2017
2017-01-01
dc.type.none.fl_str_mv technical report
http://purl.org/coar/resource_type/c_18gh
VoR
http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.openaire.fl_str_mv info:eu-repo/semantics/report
format report
dc.identifier.none.fl_str_mv https://hdl.handle.net/20.500.14352/22900
url https://hdl.handle.net/20.500.14352/22900
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
Atribución-NoComercial 3.0 España
https://creativecommons.org/licenses/by-nc/3.0/es/
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
Atribución-NoComercial 3.0 España
https://creativecommons.org/licenses/by-nc/3.0/es/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Instituto Complutense de Estudios Internacionales (ICEI)
publisher.none.fl_str_mv Instituto Complutense de Estudios Internacionales (ICEI)
dc.source.none.fl_str_mv reponame:Docta Complutense
instname:Universidad Complutense de Madrid (UCM)
instname_str Universidad Complutense de Madrid (UCM)
reponame_str Docta Complutense
collection Docta Complutense
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1869409449270050816
score 15.81155

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