1,721,063 research outputs found
Risk management e funzione del capitale
No full textGli intermediari finanziari, e le banche in particolare, sono soggetti intrinsecamente destinati ad assumere rischi. Se una banca investisse i fondi raccolti presso i depositanti esclusivamente in titoli di Stato a breve termine (cioè in attività sostanzialmente esenti da rischi) tradirebbe la propria funzione di supporto e stimolo alle imprese e all’economia, e produrrebbe un volume di utili insoddisfacente per i suoi azionisti. In questo capitolo presentiamo brevemente i principali rischi presenti nel bilancio di una banca e forniamo una trattazione sintetica degli strumenti utilizzati per la loro misurazione. Successivamente, mostriamo come sia possibile tradurre questi rischi in una misura di capitale e come essa possa essere utilizzata per valutare la performance economica della banca all’interno di un rigoroso sistema di controlli interni
What drives the liquidity of sovereign bonds when markets are under stress? An assessment of the new Basel 3 rules on bank liquid assets
No full textThe new rules on bank liquidity set by the Basel Committee require banks to hold high-quality liquid assets (HQLAs) against future cash outflows in periods of market stress. Domestic government bonds are considered to be HQLAs. To assess the appropriateness of this rule, we investigate the liquidity of European government bonds in ordinary times and in periods of market turmoil. We find that the effect of adverse market conditions on liquidity strongly depends on individual bond’s characteristics. Our evidence argues for rules on HQLAs that should constrain the eligibility of government bonds depending on their characteristics (primarily, duration and rating)
What Future for Basel II?
No full textThe financial crisis that severely hit the international
banking industry during the last few years has
clearly highlighted a number of problems and weaknesses
associated with the prudential regulatory
framework centred on risk-weighted capital adequacy
requirements. These very weaknesses gave rise to the
new proposals by the Basel Committee to revise
the capital adequacy framework known as "Basel 3"
La sfida della redditività bancaria: opportunità e minacce verso il 2000
No full textIl volume analizza la rincorsa verso la redditività del sistema bancario italiano attraverso contributi di più autori, tutti basati sui dati di Matrice dei Conti della Banca d'Itali
Liquidità e capitale delle banche: le nuove regole, i loro impattigestionali
No full textLa nuova regolamentazione
introdotta da Basilea 3 modificherà
profondamente il funzionamento
delle banche, il loro rapporto
con il mercato e la loro redditività.
La risposta delle banche
ai nuovi e più severi criteri
deve passare attraverso un
ridisegno del perimetro di attività,
un ripensamento del pricing sui
servizi e un’ulteriore revisione
dei processi operativi per
massimizzarne l’efficienza
Should the marketing of subordinated debt be restricted / what to do in the case of mis-selling?: in-depth analysis
No full textThis note provides a primer on subordinated bonds, covering a number of key concepts and
definitions. The role of subordinated bonds as a source of bank regulatory capital (“Tier 2
capital”) is also discussed. Empirical data are presented, showing that Tier 2 capital
accounts for 16.2% of total regulatory capital (or 2.7 percentage points in terms of riskweighted
assets). Based on national statistics and anecdotal evidence, it can be inferred that
a significant share of Tier 2 issues is held by retail investors.
We then look at how recent rules on bank bailout and resolution (including the Bank
Recovery and Resolution Directive) have changed the risk attached to subordinated bonds
and to other bank liabilities that rank senior to them. Key rules on the placement of
subordinated bonds to retail clients are also briefly surveyed, highlighting how MiFID II
will change the regulatory landscape since 2018, by imposing additional requirements on
appropriateness, product governance and conflicts of interest, and by giving supervisors
the power to impose extraordinary bans on unsuitable financial products.
In the last part of this note we argue that, rather than prohibiting the sale of subordinated
debt to small investors, supervisors should tackle the risk originating from self-placement
practices through a thorough and uniform implementation of MiFID (and MiFID II)
provisions. Competent authorities may e.g. require banks to: i) set maximum concentration
limits in their customers’ portfolios; ii) develop adequate pricing procedures; iii) to ensure
that remuneration schemes do not lead to improper selling practices
Il secondo pilastro di Basilea e la sfida del capitale economico
No full textIl volume esamina alcune delle componenti primarie del processo di pianificazione patrimoniale, quali la determinazione e l’allocazione del capitale economico, concentrandosi ora sull’inquadramento normativo, ora sull’approfondimento delle metodologie di calcolo, ora sull’illustrazione degli aspetti di natura più propriamente strategica, gestionale e organizzativa. Ai diversi capitoli fanno seguito alcuni sintetici e incisivi Approfondimenti, a cura di esperti impegnati nell’implementazione della normativa sul Secondo Pilastro. Ne emerge una trattazione di tipo corale che agli esiti delle riflessioni accademiche affianca la concreta esperienza operativa delle banche, l’apporto di esperienze e di professionalità diversificate da parte delle associazioni di categoria e delle società di consulenza, la particolare ottica dei supervisori chiamati a emanare le norme e, allo stesso tempo, a valutare la compatibilità con gli obiettivi prudenziali delle metodologie e dei processi adottati dai soggetti vigilati
Nuove regole su capitale e liquidità: spunti di riflessione e di ricerca
No full textWe cast a cursory look at two key issues concerning bank supervision that are currently in the European regulatory pipeline, and provide hints on how academic studies on financial intermediation could contribute to the ongoing debate. The fist one is the reform of the risk-based capital requirements promoted by the Basel Committee after the great financial crisis. The second one are the new rules on bank liquidity (with a special focus on the eligibility criteria for the «high quality liquid assets » that banks will be required to hold against liquidity risk, and their application to Government bonds). Both areas provide interesting opportunities for ad hoc studies and show how economic research can be used to improve the rationality and efficiency of new regulations
Il Covid-19 e i prestiti bancari: la risposta della vigilanza e delle banche
No full textA fronte della pandemia di Covid-19 la vigilanza bancaria ha reagito mettendo in campo misure di sostegno al capitale e promuovendo un’interpretazione meno rigida dei principi contabili. Il Parlamento europeo ha rapidamente introdotto norme aggiuntive (anche provvisorie) per temperare gli effetti negativi del calendar provisioning e dell’Ifrs 9 e per proteggere le banche da shock sui titoli di Stato. Le banche stesse hanno affinato i propri sistemi di monitoraggio e analisi per non rispondere in modo troppo pro-ciclico alla crisi e insieme individuare per tempo i debitori non adeguatamente resilienti. Sia le Autorità che gli intermediari possono comunque mettere in
campo soluzioni ancor più ambiziose al fine di proteggere la stabilità finanziaria e sostenere l’economia.
Faced with the Covid-19 pandemic, Bank Supervisors have reacted by deploying a set of measures aimed at supporting capital and promoting a more flexible interpretation of the accounting standards. The European Parliament has quickly passed additional rules (some of which temporary) to mitigate the negative effects of calendar provisioning and Ifrs 9, and to protect banks from shocks originated by Treasury bonds. Banks have themselves refined their analytical and monitoring tools, in order to avoid an overly pro-cyclical response to the crisis, while at the same time ensuring that less resilient borrowers are timely identified. Both Authorities and Financial institutions may however raise their level of ambition, in order to protect financial stability and support the economy
Bank subordinated debt: a source of capital for lenders or a source of concern for retail investors?
No full textTo address that question, this note first provides a primer on subordinated bonds, covering a number of key concepts and definitions. The
role of subordinated bonds as a source of bank regulatory capital («Tier 2 capital») is then discussed, showing that lenders have been relying heavily on this type of securities to comply with supervisory requirements, and that a significant share of Tier 2 issues is held by retail investors. We then look at how recent rules on bank bailout and resolution (including the Bank Recovery and Resolution Directive) have changed the risk attached to subordinated bonds and to other bank liabilities that rank senior to them. Key rules on the placement of subordinated bonds to retail clients are also briefly surveyed, highlighting how MiFID II will change the regulatory landscape since 2018, by imposing additional requirements on appropriateness, product governance and conflicts of interest, and by giving supervisors the power to impose extraordinary bans on unsuitable financial products. In the last part of this note we argue that, rather than prohibiting the sale of subordinated debt to small investors, supervisors should tackle the risk originating from self-placement practices through a thorough and uniform implementation of MiFID (and MiFID II) provisions. Competent authorities may e.g. require banks to: i) set maximum concentration limits in their customers’ portfolios; ii) develop adequate pricing procedures; iii) to ensure that remuneration schemes do not lead to improper selling practices
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