Predicción del nivel de solvencia de la banca europea a través de la información contable: una aplicación a los ”PIIGS”

Abstract

In November 2014, the European Central Bank is set to become the Eurozone's single banking supervisor. As a previous step, around 130 European banks are undergoing a new stress test exercise coordinated, as it was the one conducted in 2011, by the European Banking Authority (EBA). Since the beginning of the financial crisis, the stress tests have become one of the usual procedures to assess the resilience of the EU banking systems against economic distress. In fact, the solvency of the European banking institutions, assessed by means of this sort of tools, has conditioned the recent European banking sector restructuring and recapitalization process. In this context, the aim of this paper is to evaluate the quality of the financial statements as a predictor of the solvency level assessed by the last European stress tests (2011). The sample consists of the 42 financial institutions from the socalled PIIGS countries (Portugal, Italy, Ireland, Greece and Spain), since they were especially damaged during the crisis. The core tier 1 ratio is predicted by means of a regression model where financial ratios are used as explanatory variables.