What Drives Bank-Specific Capital Requirements? Evidence from the Ssm

11 Pages Posted: 25 Jul 2022

See all articles by Carlos F. Alves

Carlos F. Alves

University of Porto - Faculty of Economics

Alberto Citterio

University of Insubria

Bernardo P. Marques

affiliation not provided to SSRN

Abstract

Drawing on recently disclosed information on the Pillar 2 capital requirements of banks directly supervised by the ECB, we find that bank-specific capital requirements are mostly driven by business model and profitability, credit risk, and internal governance and risk management issues. Moreover, we propose a novel measure of bank governance quality that teases out the qualitative dimension of the P2R decision. Effectively, we find a significant relationship between our proposed measure and several corporate governance proxies used in the literature.

Keywords: banking, supervision, Pillar 2, capital requirements, bank governance

Suggested Citation

Alves, Carlos Francisco Ferreira and Citterio, Alberto and Marques, Bernardo P., What Drives Bank-Specific Capital Requirements? Evidence from the Ssm. Available at SSRN: https://ssrn.com/abstract=4171435 or http://dx.doi.org/10.2139/ssrn.4171435

Carlos Francisco Ferreira Alves

University of Porto - Faculty of Economics ( email )

Rua Roberto Frias
s/n
Porto, 4200-464
Portugal
+351 225571242 (Phone)
+351 225505050 (Fax)

Alberto Citterio

University of Insubria ( email )

Via Ravasi 2
Varese, 21100
Italy

Bernardo P. Marques (Contact Author)

affiliation not provided to SSRN ( email )

No Address Available

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