Published in:TILEC Discussion Paper ; No. 2013-016
Extent:
1 Online-Ressource (44 p)
Language:
English
DOI:
10.2139/ssrn.2271326
Identifier:
Origination:
Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 2013 erstellt
Description:
We estimate the size of the annual funding advantage for a sample of 151 large European banks over the period 1-1-2008 until 15-6-2012 using rating agencies "assessment of banks" creditworthiness with and without external support. We find that the size of the funding advantage is large and fluctuates substantially over time. For most countries it rises from 0.1% of GDP in the first half of 2008 to more than 1% of GDP mid 2011. Our results are comparable to findings in previous studies. We find that larger banks enjoy on average higher rating uplifts, but the effect of size does not increase anymore for banks with total assets above 1,000 billion Euro compared to banks with assets between 250 and 1,000 billion Euro. In addition, a higher sovereign rating of a bank's home country leads on average to a higher rating uplift for that bank