Skip to main content

ICMA Centre Research looks at whether banks could survive a new Great Depression

Varotto first analyses banks' loan portfolios and finds that regulatory capital in most cases offers enough protection against extreme crisis events. The only exceptions are portfolios with average maturity beyond 10 years. Then, he investigates bank's trading portfolios and finds that current minimum capital requirements will have to increase dramatically and, depending on the maturity and rating characteristics of the portfolio, by more than 5 times the current levels to cover for credit risk and market risk in stressed conditions. He also finds that the increase is mostly due to market risk capital charges which can be more than 20 times larger than the newly introduced "incremental risk charge" for credit risk. The paper's conclusions call for further research to understand the potentially large impact of the new regulation on bank's investment decisions and lending practices."

Article in full

Published 18 March 2010

You might also like

High-achieving MSc Students scoop Eurekahedge Prize

30 May 2008
Two of the ICMA Centres top performing MSc students were awarded with the Eurekahedge prize. First place was awarded to Vladimir Zdorovenin, MSc International Securities and Investment Banking, with Duncan Green, studying on the MSc Investment Management programme as the runner-up.

ICMA Centre researchers requested to present to Chinese delegation

18 October 2013
Following a request from the British consulate in Shanghai, Dr. Andreas Hoepner, Associate Professor of ICMA centre, Henley Business School, made a presentation of “Sustainability Investment” to Chinese regulators and business leaders at the Association of British Insurers, 8th Oct 2013.
Business News

Financial Times Masters in Finance ranking 2017

17 June 2017
Henley rises to no.7 in the UK and no.33 in the world