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RISK-BASED CONTRIBUTION IN DEPOSIT GUARANTEE SCHEMES: A ROBUST PRINCIPAL COMPONENT ANALYSIS IN KEY RISK FACTORS’ WEIGHTING STEP

Saverio Giorgio et al.

Journal of Financial Management, Markets and Institutions2024https://doi.org/10.1142/s2282717x24500038article
AJG 1ABDC C
Weight
0.49

What the paper says

This paper investigates the method for calculating funding banks must provide to Deposit Guarantee Schemes (DGSs) according to the “ex-ante” and “risk-based” criteria introduced by Directive 2014/49/EU (DGSD). We aim to further support the existing documents providing an approach to identify risk indicators and assign weights thereof to determine fundings to be paid to DGSs. It is worth noting that such an approach could enhance current practices as it takes into account the risk and performance of banks as opposed to the overall banking market. By doing so, a more targeted funding can be encouraged. Our results consider the Texas ratio as one of the indicators to look out for. Likewise, such methods could serve as self-assessment frameworks for Institutional Protection Schemes (IPSs) and banks, fostering sound and prudent management, in turn warding off “moral hazard” issues.

2 citations

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https://doi.org/https://doi.org/10.1142/s2282717x24500038

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@article{saverio2024,
  title        = {{RISK-BASED CONTRIBUTION IN DEPOSIT GUARANTEE SCHEMES: A ROBUST PRINCIPAL COMPONENT ANALYSIS IN KEY RISK FACTORS’ WEIGHTING STEP}},
  author       = {Saverio Giorgio et al.},
  journal      = {Journal of Financial Management, Markets and Institutions},
  year         = {2024},
  doi          = {https://doi.org/https://doi.org/10.1142/s2282717x24500038},
}

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RISK-BASED CONTRIBUTION IN DEPOSIT GUARANTEE SCHEMES: A ROBUST PRINCIPAL COMPONENT ANALYSIS IN KEY RISK FACTORS’ WEIGHTING STEP

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Evidence weight

0.49

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.47 × 0.4 = 0.19
M · momentum0.55 × 0.15 = 0.08
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.