Systemic risk analysis of global banking systems

Basel III regulatory constraint

Research output: Contribution to journalArticle

Abstract

This article is particularly concentrated on measuring systemic risk based on network topology of bilateral exposures and obligations specifically for the global banking systems in 2013. Financial network models based on financial exposures are models that aim to depict causal chains of exposures and obligations of counterparties for financial institutions. The Basel Committee on Bank Supervision (BCBS) introduces Basel III regulatory constraint for stabilizing the banking institutions due to the shortcomings of Basel II and the failure of banking institutions during the recent financial crisis in 2007. We analyse the exposure of bank risk under Basel III regulatory constraints. Under Basel III, banks have to meet the capital requirements effective in 2013 (4.5% for the common equity ratio, 6% for the Tier 1 capital ratio). Our analysis is the bilateral claims of the ultimate risk of the banking systems of the 13 reporting countries that consist of Austria, Netherland, Greece, Ireland, Portugal, Belgium, France, Germany, Italy, Spain, Switzerland, the United Kingdom, and the United States. The contagion analysis is also conducted to predict the domino effect of the reporting countries to the other counterparty countries. The results show that only Switzerland's banking system collapsed after a shock from a core counterparty such as the United States under the new Basel III regulatory constraint in the rate of loss given default of 55%.

Original languageEnglish
Pages (from-to)117-136
Number of pages20
JournalInternational Journal of Economics and Management
Volume12
Issue number1
Publication statusPublished - 1 Jun 2018

Fingerprint

Risk analysis
Banking system
Basel
Systemic risk
Obligation
Switzerland
Banking
Bilateral
Capital requirements
Loss given default
Network topology
Basel II
Bank supervision
Ireland
Belgium
Italy
Portugal
Network model
Financial networks
Contagion

Keywords

  • Basel III regulatory constraint
  • Financial network
  • Systemic

ASJC Scopus subject areas

  • Business and International Management
  • Economics, Econometrics and Finance(all)
  • Strategy and Management

Cite this

Systemic risk analysis of global banking systems : Basel III regulatory constraint. / Said, Fathin Faizah.

In: International Journal of Economics and Management, Vol. 12, No. 1, 01.06.2018, p. 117-136.

Research output: Contribution to journalArticle

@article{801a7c82a7fa43e389828ecf19d149ae,
title = "Systemic risk analysis of global banking systems: Basel III regulatory constraint",
abstract = "This article is particularly concentrated on measuring systemic risk based on network topology of bilateral exposures and obligations specifically for the global banking systems in 2013. Financial network models based on financial exposures are models that aim to depict causal chains of exposures and obligations of counterparties for financial institutions. The Basel Committee on Bank Supervision (BCBS) introduces Basel III regulatory constraint for stabilizing the banking institutions due to the shortcomings of Basel II and the failure of banking institutions during the recent financial crisis in 2007. We analyse the exposure of bank risk under Basel III regulatory constraints. Under Basel III, banks have to meet the capital requirements effective in 2013 (4.5{\%} for the common equity ratio, 6{\%} for the Tier 1 capital ratio). Our analysis is the bilateral claims of the ultimate risk of the banking systems of the 13 reporting countries that consist of Austria, Netherland, Greece, Ireland, Portugal, Belgium, France, Germany, Italy, Spain, Switzerland, the United Kingdom, and the United States. The contagion analysis is also conducted to predict the domino effect of the reporting countries to the other counterparty countries. The results show that only Switzerland's banking system collapsed after a shock from a core counterparty such as the United States under the new Basel III regulatory constraint in the rate of loss given default of 55{\%}.",
keywords = "Basel III regulatory constraint, Financial network, Systemic",
author = "Said, {Fathin Faizah}",
year = "2018",
month = "6",
day = "1",
language = "English",
volume = "12",
pages = "117--136",
journal = "International Journal of Economics and Management",
issn = "1823-836X",
publisher = "Universiti Putra Malaysia",
number = "1",

}

TY - JOUR

T1 - Systemic risk analysis of global banking systems

T2 - Basel III regulatory constraint

AU - Said, Fathin Faizah

PY - 2018/6/1

Y1 - 2018/6/1

N2 - This article is particularly concentrated on measuring systemic risk based on network topology of bilateral exposures and obligations specifically for the global banking systems in 2013. Financial network models based on financial exposures are models that aim to depict causal chains of exposures and obligations of counterparties for financial institutions. The Basel Committee on Bank Supervision (BCBS) introduces Basel III regulatory constraint for stabilizing the banking institutions due to the shortcomings of Basel II and the failure of banking institutions during the recent financial crisis in 2007. We analyse the exposure of bank risk under Basel III regulatory constraints. Under Basel III, banks have to meet the capital requirements effective in 2013 (4.5% for the common equity ratio, 6% for the Tier 1 capital ratio). Our analysis is the bilateral claims of the ultimate risk of the banking systems of the 13 reporting countries that consist of Austria, Netherland, Greece, Ireland, Portugal, Belgium, France, Germany, Italy, Spain, Switzerland, the United Kingdom, and the United States. The contagion analysis is also conducted to predict the domino effect of the reporting countries to the other counterparty countries. The results show that only Switzerland's banking system collapsed after a shock from a core counterparty such as the United States under the new Basel III regulatory constraint in the rate of loss given default of 55%.

AB - This article is particularly concentrated on measuring systemic risk based on network topology of bilateral exposures and obligations specifically for the global banking systems in 2013. Financial network models based on financial exposures are models that aim to depict causal chains of exposures and obligations of counterparties for financial institutions. The Basel Committee on Bank Supervision (BCBS) introduces Basel III regulatory constraint for stabilizing the banking institutions due to the shortcomings of Basel II and the failure of banking institutions during the recent financial crisis in 2007. We analyse the exposure of bank risk under Basel III regulatory constraints. Under Basel III, banks have to meet the capital requirements effective in 2013 (4.5% for the common equity ratio, 6% for the Tier 1 capital ratio). Our analysis is the bilateral claims of the ultimate risk of the banking systems of the 13 reporting countries that consist of Austria, Netherland, Greece, Ireland, Portugal, Belgium, France, Germany, Italy, Spain, Switzerland, the United Kingdom, and the United States. The contagion analysis is also conducted to predict the domino effect of the reporting countries to the other counterparty countries. The results show that only Switzerland's banking system collapsed after a shock from a core counterparty such as the United States under the new Basel III regulatory constraint in the rate of loss given default of 55%.

KW - Basel III regulatory constraint

KW - Financial network

KW - Systemic

UR - http://www.scopus.com/inward/record.url?scp=85050914865&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85050914865&partnerID=8YFLogxK

M3 - Article

VL - 12

SP - 117

EP - 136

JO - International Journal of Economics and Management

JF - International Journal of Economics and Management

SN - 1823-836X

IS - 1

ER -