Evolution of sovereign risk of european G-SIBs
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Autor:innen
Autor:in (Körperschaft)
Publikationsdatum
2024
Typ der Arbeit
Studiengang
Sammlung
Typ
04A - Beitrag Sammelband
Herausgeber:innen
Herausgeber:in (Körperschaft)
Betreuer:in
Übergeordnetes Werk
Finance in crises. Financial management under uncertainty
Themenheft
DOI der Originalpublikation
Link
Reihe / Serie
Reihennummer
Jahrgang / Band
Ausgabe / Nummer
Seiten / Dauer
141-158
Patentnummer
Verlag / Herausgebende Institution
Springer
Verlagsort / Veranstaltungsort
Cham
Auflage
Version
Programmiersprache
Abtretungsempfänger:in
Praxispartner:in/Auftraggeber:in
Zusammenfassung
This chapter shows some evidence that sovereign risk remains a sigu0002nificant concern for European ‘Global Systemically Important Banks’ (G-SIBs) despite the lessons learned from the euro area sovereign debt crisis. Analysis of data from the European Banking Authority (EBA) reveals that many of these banks continue to hold substantial levels of sovereign debt exposure to GIIPS (Greece,
Ireland, Italy, Portugal, and Spain) countries, with exposure ranging from 10% to 20%. Notably, UniCredit and Santander stand out with exposure levels exceeding 25% towards GIIPS nations, exposing them to potential sovereign risk from market disturbances within those countries. We also show that partial correlations between Credit Default Swaps (CDS) spreads of certain G-SIBs and GIIPS countries remain relatively high, likely influenced by the significant sovereign debt exposure these banks maintain. Furthermore, the high Debt-to-GDP ratios of GIIPS countries, along with the potential cascading effects of a government’s failure on financial
institutions, highlight the interconnectedness and vulnerability of the European banking system. While regulatory frameworks like the Basel Accords have played a crucial role in maintaining financial stability, the approach to risk-weighted assets associated with sovereign debts remains contentious. The allowance for a 0% risk weight on sovereign bonds issued by EU member states, as part of the Capital Requirements Regulation (CRR), may incentivize increased holdings of such debts, amplifying sovereign risk. Moreover, High Quality Liquid Assets (HQLA) regulations encouraging banks to retain sovereign debt result in an increased risk for a new sovereign-bank nexus. Our findings reveal potential weaknesses within the European banking system, emphasizing the need for thorough scrutiny and systemic management of this persisting issue.
Schlagwörter
Fachgebiet (DDC)
330 - Wirtschaft
Veranstaltung
Startdatum der Ausstellung
Enddatum der Ausstellung
Startdatum der Konferenz
Enddatum der Konferenz
Datum der letzten Prüfung
ISBN
978-3-031-48070-6
978-3-031-48071-3
978-3-031-48071-3
ISSN
Sprache
Englisch
Während FHNW Zugehörigkeit erstellt
Ja
Zukunftsfelder FHNW
Publikationsstatus
Veröffentlicht
Begutachtung
Fachlektorat/Editorial Review
Open Access-Status
Closed
Lizenz
Zitation
ALVAREZ, Loïc und Kristyna TERS, 2024. Evolution of sovereign risk of european G-SIBs. In: Tobias HÜTTCHE (Hrsg.), Finance in crises. Financial management under uncertainty. Cham: Springer. S. 141–158. ISBN 978-3-031-48070-6. Verfügbar unter: https://irf.fhnw.ch/handle/11654/48270