Riesgo de crédito y solidez financiera en el sector bancarioun enfoque macroprudencial

Abstract

Banking sector stability has received increased attention in recent years. Basically, two main approaches exist in the research related to bank risk assessment: the microprudential and macroprudential approaches. The microprudential approach examines individual financial institutions whereas the macroprudential approach aims to monitor stability of the financial system as a whole. Global financial difficulties have shown the limitation of microprudential regulations. Consequently, there has been a shift towards the macroprudential approach. In this sense, the International Monetary Fund has made important efforts to develop and compile the Financial Soundness Indicators (FSIs). Our research focuses on the macroprudential approach by using the FSIs. The conclusions of the two studies that we develop in this thesis are relevant to assess the financial soundness of the EU banking system, the influence of the financial development on the banking soundness of countries, and the impact of each aspect of banking soundness on the sovereign risk.