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The Financial Stability Board and Global Systemically Important Banks: Unintended Consequences?
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no DOI — not checkedTotal sample is 69. Moody's downgrade decisions are over the 12 months prior to the November 2011 G-SIB designation announcement and 12 months after that announcement, from Bankscope. Year end 2010 and 2011 financial statement data are from Bankscope; daily stock price data from Datastream and risk data from NYU Stern's Volatility Laboratory are from 11/1/2009 through 10/31/2010, and from 11/1/2010 through 10/31/2011. Tier1 Ratio equals book value of Tier I capital to risk-weighted assets. Assets/Book Equity = total assets/book equity. Leverage_VLab = quasi market value of assets / market value of equity. Quasi market value of assets = (book value of assets -book value of equity + market value of equity). Assets equals total assets in US$ billions
no DOI — not checkedInterest Revenue equals interest revenue to assets. Interest Expense equals interest expense to assets. Net Interest Margin equals (interest revenue -interest expense)/total earning assets. Overhead equals non-interest expense to average assets. ROA equals return on average assets. ROE equals return on average equity. Q equals (average market value of equity + average book value of debt)/(average book value of equity + average book value of debt). Alpha equals intercept from CAPM model estimated on daily stick price data. Beta = market beta from CAPM model estimated on daily stock price data. SDResids equals standard deviation of residuals from CAPM model estimated on daily stock price data. MES_VLab = marginal expected shortfall = one day expected loss in equity value, from a 2% drop in a broad market index, relative to the MSCI World Index
no DOI — not checked5% capital requirement for Europe and an 8% capital requirement everywhere else. Results for the 2010 decisions are in columns 1 (correlations with performance variables) and 3 (coefficient estimates from Logit regressions that predict the probability of a 2010 downgrade). Results for the 2011 decisions are in columns 2 (correlations with performance variables) and 4-6 (coefficient estimates from Logit regressions that predict the probability of a 2011 downgrade). Correlations or coefficient estimates significant at the 10, 5, and 1% levels are noted with a *, **, and ***, respectively. P-values reported below coefficient estimates in parentheses. Estimates significant at the 5% or better level are in bold type. sample includes 27 banks selected as G-SIB by the Financial Stability Board (FSB) in November 2012. The Other Large Bank (OLB) sample includes 45 publicly traded banks with 2011 total assets greater than $100 billion from the 11 countries where G-SIB are headquartered. Announcement CARs are calculated with market model regressions (see Table 10 for details). Year end 2011 financial statement data are from Bankscope; daily stock price data from Datastream and risk data from NYU Stern's Volatility Laboratory are from 11/1/2011 through 10/31/2012. Tier1 Ratio equals book value of Tier I capital to risk-weighted assets. Assets/Book Equity = total assets/book equity. Leverage_VLab = quasi market value of assets / market value of equity
no DOI — not checkedOverhead equals non-interest expense to average assets. ROA equals return on average assets. ROE equals return on average equity. Q equals (average market value of equity + average book value of debt)/(average book value of equity + average book value of debtAlpha equals intercept from CAPM model estimated on daily stick price data. Beta = market beta from CAPM model estimated on daily stock price data. SDResids equals standard deviation of residuals from CAPM model estimated on daily stock price data. MES_VLab = marginal expected shortfall = one day expected loss in equity value, from a 2% drop in a broad market index, relative to the MSCI World Index. Interbank Assets equals loans and advances to banks/total assets. Interbank Liabilities = deposits at banks/total assets. Corr_Avg = average correlation of a given bank's daily stock returns with all other banks in the same sub-set. Systemic Risk_VLab = firm's estimated loss of equity value (US$ billions) for a full financial crisis of a 40% decline in a broad market index, using a 5.5% capital requirement for Europe and an 8% capital requirement everywhere else. FSB_"Bucket" equals the amount of additional loss absorbency the bank will be required to add by 2016. Column 1 (2 and 3) reports coefficient estimates from OLS regressions with White-heteroskedasticity-consistent coefficient estimates with CAR as the dependent variable estimated over the 28 G-SIB (45 OLB)
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