RT Conference Proceedings
T1 Evaluation of European Deposit Insurance Scheme Funding Based on Risk Analysis
A1 Gómez Fernández-Aguado, Pilar
A1 Trigo-Martínez, Eduardo
A1 Partal Ureña, Antonio
A1 Moreno-Ruiz, Rafael
K1 Bancos
K1 Seguros de depósitos
AB Contribución presentada en 34th EBES Conference.We carry out a quantitative analysis of the financing measures proposed for the European Deposit Insurance Scheme (EDIS) regarding the target level of the fund and the contribution scheme of member entities. We estimate the loss distribution of the EDIS considering different sources of systemic risk associated with the correlations between bank assets inside and outside the eurozone countries, and we analyse the sensitivity of the results to bank portfolio risk. We determine the variations in the cost of insurance due to the relative risk profile of banks in the Banking Union and the loss-absorbing capacity of the contribution made by countries with the methodologies proposed by the European Banking Authority (2015). Our findings show how the interconnection between banks of different countries has an important influence on accumulated losses in the tail of the distribution, although the correlation within a country exerts a stronger effect. Both aspects must be considered in the calibration of the target level of the fund to avoid underestimating financing needs. Likewise, deterioration in the quality of bank portfolios produces a significant reduction in the fund's loss-absorbing capacity, which calls into question its soundness in times of economic recession. Finally, we assess the impact of the new contribution scheme on moral hazard and the possibility of cross-border subsidies between the countries of the Banking Union.
YR 2021
FD 2021-01-22
LK https://hdl.handle.net/10630/20825
UL https://hdl.handle.net/10630/20825
LA eng
NO Universidad de Málaga. Campus de Excelencia Internacional Andalucía Tech
DS RIUMA. Repositorio Institucional de la Universidad de Málaga
RD 21 ene 2026