RISK-BASED CONTRIBUTION IN DEPOSIT GUARANTEE SCHEMES: A ROBUST PRINCIPAL COMPONENT ANALYSIS IN KEY RISK FACTORS’ WEIGHTING STEP
This paper investigates the method for calculating funding banks must provide to Deposit Guarantee Schemes (DGSs) according to the “ex-ante” and “risk-based” criteria introduced by Directive 2014/49/EU (DGSD). We aim to further support the existing documents providing an approach to identify risk in...
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| Format: | Article |
| Language: | English |
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World Scientific Publishing
2024-12-01
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| Series: | Journal of Financial Management, Markets and Institutions |
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| Online Access: | https://www.worldscientific.com/doi/10.1142/S2282717X24500038 |
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| author | SAVERIO GIORGIO PINA MURÈ COSIMO PACCIONE LUCILLA BITTUCCI |
| author_facet | SAVERIO GIORGIO PINA MURÈ COSIMO PACCIONE LUCILLA BITTUCCI |
| author_sort | SAVERIO GIORGIO |
| collection | DOAJ |
| description | This paper investigates the method for calculating funding banks must provide to Deposit Guarantee Schemes (DGSs) according to the “ex-ante” and “risk-based” criteria introduced by Directive 2014/49/EU (DGSD). We aim to further support the existing documents providing an approach to identify risk indicators and assign weights thereof to determine fundings to be paid to DGSs. It is worth noting that such an approach could enhance current practices as it takes into account the risk and performance of banks as opposed to the overall banking market. By doing so, a more targeted funding can be encouraged. Our results consider the Texas ratio as one of the indicators to look out for. Likewise, such methods could serve as self-assessment frameworks for Institutional Protection Schemes (IPSs) and banks, fostering sound and prudent management, in turn warding off “moral hazard” issues. |
| format | Article |
| id | doaj-art-b25071bdc56e4812b5f8445a1f077cf1 |
| institution | Kabale University |
| issn | 2282-717X |
| language | English |
| publishDate | 2024-12-01 |
| publisher | World Scientific Publishing |
| record_format | Article |
| series | Journal of Financial Management, Markets and Institutions |
| spelling | doaj-art-b25071bdc56e4812b5f8445a1f077cf12025-01-24T09:32:04ZengWorld Scientific PublishingJournal of Financial Management, Markets and Institutions2282-717X2024-12-01120210.1142/S2282717X24500038RISK-BASED CONTRIBUTION IN DEPOSIT GUARANTEE SCHEMES: A ROBUST PRINCIPAL COMPONENT ANALYSIS IN KEY RISK FACTORS’ WEIGHTING STEPSAVERIO GIORGIO0PINA MURÈ1COSIMO PACCIONE2LUCILLA BITTUCCI3Università degli Studi di Roma “La Sapienza”, Rome, ItalyUniversità degli Studi di Roma “La Sapienza”, Rome, ItalyLuiss Guido Carli, Rome, ItalyEuropean Central Bank, GermanyThis paper investigates the method for calculating funding banks must provide to Deposit Guarantee Schemes (DGSs) according to the “ex-ante” and “risk-based” criteria introduced by Directive 2014/49/EU (DGSD). We aim to further support the existing documents providing an approach to identify risk indicators and assign weights thereof to determine fundings to be paid to DGSs. It is worth noting that such an approach could enhance current practices as it takes into account the risk and performance of banks as opposed to the overall banking market. By doing so, a more targeted funding can be encouraged. Our results consider the Texas ratio as one of the indicators to look out for. Likewise, such methods could serve as self-assessment frameworks for Institutional Protection Schemes (IPSs) and banks, fostering sound and prudent management, in turn warding off “moral hazard” issues.https://www.worldscientific.com/doi/10.1142/S2282717X24500038Banking systemsbanking instabilitybankruptcyDeposit Guarantee Schemes (DGSs)Institutional Protection Schemes (IPSs)risk-based premia |
| spellingShingle | SAVERIO GIORGIO PINA MURÈ COSIMO PACCIONE LUCILLA BITTUCCI RISK-BASED CONTRIBUTION IN DEPOSIT GUARANTEE SCHEMES: A ROBUST PRINCIPAL COMPONENT ANALYSIS IN KEY RISK FACTORS’ WEIGHTING STEP Journal of Financial Management, Markets and Institutions Banking systems banking instability bankruptcy Deposit Guarantee Schemes (DGSs) Institutional Protection Schemes (IPSs) risk-based premia |
| title | RISK-BASED CONTRIBUTION IN DEPOSIT GUARANTEE SCHEMES: A ROBUST PRINCIPAL COMPONENT ANALYSIS IN KEY RISK FACTORS’ WEIGHTING STEP |
| title_full | RISK-BASED CONTRIBUTION IN DEPOSIT GUARANTEE SCHEMES: A ROBUST PRINCIPAL COMPONENT ANALYSIS IN KEY RISK FACTORS’ WEIGHTING STEP |
| title_fullStr | RISK-BASED CONTRIBUTION IN DEPOSIT GUARANTEE SCHEMES: A ROBUST PRINCIPAL COMPONENT ANALYSIS IN KEY RISK FACTORS’ WEIGHTING STEP |
| title_full_unstemmed | RISK-BASED CONTRIBUTION IN DEPOSIT GUARANTEE SCHEMES: A ROBUST PRINCIPAL COMPONENT ANALYSIS IN KEY RISK FACTORS’ WEIGHTING STEP |
| title_short | RISK-BASED CONTRIBUTION IN DEPOSIT GUARANTEE SCHEMES: A ROBUST PRINCIPAL COMPONENT ANALYSIS IN KEY RISK FACTORS’ WEIGHTING STEP |
| title_sort | risk based contribution in deposit guarantee schemes a robust principal component analysis in key risk factors weighting step |
| topic | Banking systems banking instability bankruptcy Deposit Guarantee Schemes (DGSs) Institutional Protection Schemes (IPSs) risk-based premia |
| url | https://www.worldscientific.com/doi/10.1142/S2282717X24500038 |
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