The effect of financial innovation on European banks' risk

Otero Gonzalez Luis; Rodriguez Gil Luis Ignacio; Martorell Cunill Onofre; Merigo Lindahl Jose M.

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The effect of financial innovation on European banks' risk

机译：金融创新对欧洲银行风险的影响

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This study examines the effect of the use of securitization and credit derivatives on the risk profile of European banks. Using information from 134 listed European banks during the period of 2006-2010, the results show that securitization and trading with credit derivatives have a negative effect on financial stability. The main findings also show the dominance of trading positions over hedging positions for credit derivatives. The results of this study support the higher capital requirements of the new Basel III international banking regulations. Furthermore, accounting measures do not readily indicate market risks, and thus the results support central banks' use of market-solvency measures to monitor financial stability. (C) 2016 Elsevier Inc. All rights reserved.

机译：这项研究考察了证券化和信贷衍生产品的使用对欧洲银行风险状况的影响。使用2006年至2010年期间来自134家欧洲上市银行的信息，结果表明，证券化和信用衍生品交易对金融稳定性有负面影响。主要发现还表明，交易头寸相对于信用衍生工具的对冲头寸占主导地位。这项研究的结果支持了新的《巴塞尔协议三》国际银行法规对资本的更高要求。此外，会计方法不能轻易表明市场风险，因此结果支持中央银行使用市场偿付能力方法来监控金融稳定性。（C）2016 Elsevier Inc.保留所有权利。

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来源
《Journal of Business Research》 |2016年第11期|4781-4786|共6页
作者
Otero Gonzalez Luis; Rodriguez Gil Luis Ignacio; Martorell Cunill Onofre; Merigo Lindahl Jose M.;
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作者单位

Fac Econ Sci & Business Studies, Avda Burgo Nac S-N, Santiago De Compostela 15704, Spain;

Fac Econ Sci & Business Studies, Avda Burgo Nac S-N, Santiago De Compostela 15704, Spain|Univ Santiago de Compostela, Fac Econ Sci & Business Studies, Dept Finance & Accounting, Avda Burgo Nac S-N, Santiago De Compostela 15704, Spain;

Univ Illes Balears, Econ & Empresa, Carretera Valldemossa,Km 7,5,Campus Univ, Palma De Mallorca 07071, Spain;

Univ Chile, Santiago, Chile|Univ Chile, Dept Management Control & Informat Syst, Ave Diagonal Paraguay 257, Santiago 8330015, Chile;

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原文格式 PDF
正文语种 eng
中图分类
关键词
Securitization; Credit derivatives; European banks; Basel III;

机译：证券化;信用衍生产品;欧洲银行;巴塞尔协议III;

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机译：银行业的风险和不确定性 - 对收益后公告的研究欧洲银行的漂移 - 在金融危机发生之前，市场是否反映了银行面临的风险？

The effect of financial innovation on European banks' risk

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