Nos derniers articles

The paper investigates whether Global Systemically Important Banks (G-SIBs) engage in stronger window-dressing practices than other banks. It finds evidence that G-SIBs reduce exposures such as assets, debt, and derivatives more sharply at year-end and then increase them again in the following quarter, creating a “V-shape” pattern. This behavior is more pronounced for G-SIBs near regulatory thresholds or with higher surcharges, suggesting attempts to lower capital requirements. The study highlights potential market implications and questions the effectiveness of the G-SIB framework, suggesting reforms such as using average exposures rather than year-end figures.

"We use the recently failed #svb as a case study. Our [#machinelearning #textanalysis] findings indicate a weaker emphasis on #riskgovernance by SVB and an environment, particularly after 2011, where the #ceo became more dominant in influencing SVB’s #riskculture. We also show that despite recognition of the portfolio problems, SVB’s CEO’s tone indicated that #regulatorycompliance and #riskstrategy of the #bank would #mitigate these #risks. We observe an alignment between the #riskculture of SVB and other banks with the highest uninsured deposits as well as with two #us #gsibs."

"For regulators, risk managers and market participants these properties are interesting from an economic standpoint when they require the increased sensitivity and heterogeneity of the Δ-CoES to set short-term capital requirements/risk limits, find problematic financial linkages, problematic financial institutions or have some kind of early warning system for the emergence of systemic risk."