SYSTEMICALLY IMPORTANT BANKS IN EUROPE: RISK, COMPLEXITY AND CROSS-JURISDICTIONAL ACTIVITIES
SYSTEMICALLY IMPORTANT BANKS IN EUROPE: RISK, COMPLEXITY AND CROSS-JURISDICTIONAL ACTIVITIES

Summary/Abstract: This paper aims to investigate the effects of the assets and liabilities structure of financial institutions considered for regulatory purposes on their probability of default, across a sample of European banks that are designated as Global Systemically Important Banks (G-SIBs). Our analysis spans from 1995 to 2018. The empirical findings of a Fixed Effects panel model indicate that characteristics like size, complexity and crossjurisdictional activities have a considerable impact on banks’ distance to default. This study also finds that financial institutions with greater Capital Tier1 ratios are more likely to have a lower probability of default, a result that highlights the importance of implementing the BASEL III Capital Accord specifications.

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