Title: European deposit guarantee schemes: revision of risk based contributions using CDS spreads
Authors: GALLIANI CLARADE LISA RiccardoZEDDA STEFANO
Publisher: Publications Office of the European Union
Publication Year: 2012
JRC N°: JRC75345
ISBN: 978-92-79-26414-6
ISSN: 1831-9424
Other Identifiers: EUR 25510 EN
OPOCE LB-NA-25510-EN-N
URI: http://publications.jrc.ec.europa.eu/repository/handle/JRC75345
DOI: 10.2788/49174
Type: EUR - Scientific and Technical Research Reports
Abstract: Deposit Guarantee Schemes (DGS) aim at protecting depositors of all credit institutions against bank failures. One of the most critical issues about DGS concerns the criteria to be used to assess the risk‐based contribution that each member bank should pay to the Scheme. We propose an alternative model for risk-based contributions based on CDS spreads. We construct the same balance sheet ratios used in the Italian DGSs for a sample of EU banks issuing CDSs. Subsequently we perform panel regressions to explore the relationship between CDS spreads and balance sheet indicators. Results are used to construct an Aggregate Indicator of bank riskiness that is compared with the Aggregate Indicator currently used in the analyzed DGS.
JRC Institute:Institute for the Protection and Security of the Citizen

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