Оценка эффективности буфера капитала для глобальных банков (G-SIB) по «Базель III»: опыт 12 лет квазиестественного эксперимента

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Оценка эффективности буфера капитала для глобальных банков (G-SIB) по «Базель III»: опыт 12 лет квазиестественного эксперимента

Банк России , 2026.

Penikas H. I.

Language: Russian

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Оценка эффективности регулирования капитала глобальных системно значимых банков и рост коричневого кредитования

Penikas H. I., / Банк России. Серия Доклады Банка России об экономических исследованиях "Доклады об экономических исследованиях". 2026.

Естественной реакцией банков при повышении надбавки к нормативу достаточности капита ла представляется сокращение выдачи кредитов, а уменьшение такой надбавки, наоборот, должно приводить к росту кредитования. Предположительно, эффекты в отношении зеленого и коричнево го кредитования должны быть аналогичными, однако имеющиеся у нас детализированные данные ограничены сегментом коричневых кредитов. Тем не менее это позволяет нам выявить новые вза имосвязи между коричневым кредитованием ...

Added: July 8, 2026

Evaluating the Effectiveness of the Basel III G-SIB Capital Buffer Regulation: Experience from the 12 Years of a Quasi-Natural Experiment

Penikas H. I., Quarterly Journal of Finance 2025

The objective of this work is to study banks’ response to the Basel III capital regulation for global systemically important banks (G-SIBs). The buffer is revised annually. We cannot apply conventional event studies and treatment effect evaluation methodology, so we modify it to account for the multiperiod treatment and the ongoing changes in the composition ...

Added: August 7, 2025

Limited efficiency of G-SIB capital regulation in curbing brown lending

Penikas H. I., International Review of Financial Analysis 2025 Article 104320

The natural reaction of banks when increasing the buffer for the capital adequacy ratio seems to be the contraction of lending, as well as vice versa, i.e., buffer reduction should result in more lending. We wish the effects to be equivalent for the green and brown lending. However, we possess granular data for brown lending ...

Added: June 18, 2025

How do Investors Prefer for Banks to Transition to Basel Internal Models: Mandatorily or Voluntarily?

Penikas H. I., Surkov M., Скареднова А. Э., Quarterly Journal of Finance 2023

The recently finalised Basel Framework continues to allow banks to use internal data and models to define risk estimates and use them to compute their capital adequacy ratios. Globally, there are more than two thousand banks running Basel internal models. However, there are countries that have no such banks. They face the dilemma of which ...

Added: July 28, 2023

Глобальные системно значимые банки: все еще угроза для финансовой стабильности?

Dzhagityan E. P., Orekhov M., Вестник международных организаций: образование, наука, новая экономика 2022 Т. 17 № 3 С. 48–74

The Global Financial Crisis of 2007–2009 followed by sweeping overhaul of international banking regulation urged financial regulators to apply a tailored supervisory regime to global systemically important banks (G-SIBs). This approach was caused by exacerbation of G-SIBs’ systemic risks and their transmission during macro-level instability. The size of G-SIBs, the extent of their market power, ...

Added: June 29, 2022

How Do Investors Prefer Banks to Transit to Basel Internal Models: Mandatorily or Voluntarily?

Penikas H. I., Skarednova A., Surkov M., / Series Доклады об экономических исследованиях "WORKING PAPER SERIES". 2021. No. 74.

The recently finalized Basel Framework continues allowing banks to use internal data and models to define risk estimates and use them for the capital adequacy ratio computation. World-wide there are above two thousand banks running the Basel internal models. However, there are countries that have none of such banks. For them there exists a dilemma. ...

Added: July 17, 2021