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The Bank of England Prudential Regulation Research (BoE PRR) Consortium Seminar Series

A series of online seminars hosted by the Bank of England Prudential Regulation Research Consortium.

  • 18 May 2022, 1.30pm to 18 May 2022, 2.30pm BST (GMT +01:00)
  • This is an online event.
  • This event is free
The Bank of England
A platform for researchers from the Bank of England’s Prudential Policy Directorate to present and receive feedback from expert academics

The BoE Prudential Regulation Research Consortium is a platform for researchers from the Bank of England’s Prudential Policy Directorate to present their work and receive feedback from expert academics. It also offers an opportunity to unlock potential future collaborations between Bank researchers and expert academics.

The Consortium consists of the following universities:

  • CGR&IS, University of Bath
  • Bayes Business School
  • University of Edinburgh
  • University of Essex
  • University of Nottingham
  • University of Palermo

As part of this project, the Consortium will organise seminars to discuss research conducted with the Prudential Policy Directorate.

The seminars will take place on Teams. Speakers will give a presentation, followed by a moderated Q&A.

[Please contact Sheri Markose or Claudia Girardone to express your interest in attending this event.

Seminars

Petros Katsoulis, “The repo market under Basel III”
  • Bank of England
  • 16 March - 1:30pm GMT
Quynh-Anh Vo, Jonathan Smith, Benjamin Guin and Mauricio Salgado Moreno “Climate-related Disclosures in the UK Financial Sectors and their Determinants”
  • Bank of England and Humboldt University of Berlin
  • 27 April - 2:00pm BST
Austen Saunders and Matthew Willison, "Measure for measure’: evidence on the relative performance of regulatory requirements for small and large banks"

Paper details

In the next session, Austen Saunders and Matthew Willison will present the following paper:

‘Measure for measure’: evidence on the relative performance of regulatory requirements for small and large banks

By Austen Saunders and Matthew Willison

Abstract: This paper compares the performance of regulatory thresholds as predictors of distress for large banks with their performance for small banks. Using a data set of capital and liquidity ratios for a sample of UK‑focused banks in 2007, we apply simple threshold-based rules to assess how regulatory thresholds might have identified banks that subsequently became distressed. We compare results for large banks with results for small banks, optimising thresholds separately for the two groups. Our results suggest that the regulatory ratios we use are better aligned with risks which cause distress of large banks than with those which cause distress of small banks. We find that when thresholds are set to correctly identify a high proportion of banks which subsequently became distressed, they generate materially lower false alarm rates for large banks than for small. This result is robust to definitional choices and to resampling. We also test whether supervisors’ judgements about the quality of banks’ governance have predictive power with regard to distress. We find that adding supervisors’ judgements to regulatory ratios improves predictions for small banks but not for large banks.

Read it here

Register here


Contact us

If you have any queries about attending the event please get in touch