CEPII, Recherche et Expertise sur l'economie mondiale
Thursday November 24, 2022
14.30-16.00 - CEPII, 20 avenue de Ségur, 75007 Paris
CEPII Research Seminar "Bank opacity - patterns and implications" by Stefan Avdjiev (Bank for International Settlements)

Stefan Avdjiev
Adviser for Financial Stability at the Bank for International Settlements
Stefan Avdjiev will be presenting his research work "Bank opacity - patterns and implications" co-authored with Maximilian Jager. 

The authors investigate the patterns and implications of bank opacity in Europe using a rich bank-level data set. Employing a novel event study methodology, they document that public data releases by the European Banking Authority (EBA) on banks' exposures to individual countries and sectors contained information that was not previously priced by equity and CDS markets. They demonstrate that the degree of bank opacity varied considerably across bank nationalities and counterparty sectors – it was highest for European periphery banks' sovereign exposures and European core banks' private sector exposures. Furthermore, they document that underestimations of banks' credit risk by markets were associated with lower funding costs and higher wholesale borrowing (for all banks) as well as with greater risk taking and higher profitability (for European periphery banks).

The research paper is available here >>.
Contact: conferencesatcepii.fr