Prevención, gestión y resolución de crisis bancarias mediante la herramienta “bail-in”

Abstract

This thesis explores the bail-in tool as a mechanism to deal with banking crises. The goal of this thesis is to contribute to the development of a sustainable, reliable and efficient banking regulatory framework to forecast, manage and resolve banking crises. Bail-in can be defined as a bank resolution tool which forces banks' shareholders and creditors to absorb losses and recapitalise the bank avoiding or minimising the use of public funds. This work draws several conclusions relevant from an academic but also from a practitioners standpoint. First, it highlights that while research on capital requirements is well developed, academic research on loss absorption requirements and bail-in is still at very early stages. This thesis proposes a research agenda suggesting several research axes oriented to better understand the bail-in tool and the loss absorption requirements. Second, this thesis proposes and analyses the European regulatory framework to ensure that a bail-in could be applicable when needed, ensuring that banks will have at all times enough capital and loss- absorbing liabilities to allow a bail-in (MREL). It also proposes an alternative method to set the loss absorption requirements and compares the results with the actual requirements set by banking supervisors. Third, this thesis suggests Fuzzy Logic as a method within the artificial intelligence techniques that could allow analysis of banking crises and resolvability of troubled banks from a more efficient and conclusive manner. Finally, the conclusions reached in the three first papers are put in common in order to analyse a potential limitation of the bail-in tool: the interbank contagion risk in case of bail-in. This last work shows that interbank contagion could take place when a bail-in is triggered and that those banks belonging to the same country where the resolution has been triggered with weak asset quality metrics and low capitalisation levels are strong candidates to be impacted by bail-in contagion. This PhD thesis seeks to contribute to develop a sound, reliable and fair banking system, examining in detail one of its key issues: the resolution of banking crises. This work aims to contribute from a theoretical but also from a practitioner standpoint. From an academic angle, this work proposes methodological updates and potential new research axes. From a practitioner viewpoint, the results of this thesis can be applied to portfolio management, and could also be useful to banking supervisors and regulators.