CREDIT RISK AND BANK REGULATORSAuthor:
ELIZALDE TAPIZ ABEL.
Year: 2005.
University:
PÚBLICA DE NAVARRA.
Place of defense: FACULTAD DE CC.EE. Y EMPRESARIALES.
Place of preparation: UNIVERSIDAD PÚBLICA DE NAVARRA.
Summary: The thesis consists of three articles One presents an econometric analysis of the level of credit risk correlation between U.S. firms during 2001-2003. The results show that most of the credit risk of these firms is common to all of them and comes from a factor highly correlated with the major stock indices Americans. Therefore, it is shown that during a time of high levels of credit risk as 2001-2003, the credit risk of companies stems mostly the state of the economy. The two remaining articles contain theoretical analysis of the impact that the new bank regulators will have on the level of risk and capital of banks. Basel II is a new international agreement bank regulators concerning the minimum capital requirement for banks, comprotamiento of banking supervisors depending on the credit risk of banks and bank transparency requirements that will allow depositors to increase their level information on the financial status of banks. The analysis presents new theoretical frameworks for analysis and analyzes the most important rules that Basel II provides, with the objective of finding out if, as it pursues the agreement, the banks will take fewer risks and better capitalized. The overall results indicate that measures to reduce Basel II banking risk levels. However, with regard to capital levels, the results show that the success of Basel II depends on the characteristics of the banking business in every moment of time, such as cost of capital and banking credit risk of bank loans, level competition in the banking sector. Both articles comparing with the Basel II framework for banking regulation in force in the USA and propose measures to regulate bank not included in Basel II, but that might be appropriate to achieve the objectives that Basel II pursued.
