Foreign bank subsidiaries' default risk during the global crisis: What factors help insulate affiliates from their parents?

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• 作者：Deniz Anginer^b ; ^{danginer@worldbank.org} ; Eugenio Cerutti^a ; ^{ecerutti@imf.org} ; Marí ; a Soledad Martí ; nez Perí ; a^* ; ^a ; ^{mmartinezperia@imf.org}
• 关键词：Banking crises ; Default risk ; Ring-fencing ; Bank subsidiaries ; Distance to default ; Merton model
• 刊名：Journal of Financial Intermediation
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：29
• 期：Complete
• 页码：19-31
• 全文大小：658 K
• 卷排序：29

文摘

This paper examines the association between the default risk of foreign bank subsidiaries in developing countries and their parents during the global financial crisis, with the purpose of determining the size and sign of this correlation and, more importantly, understanding what factors can help insulate affiliates from their parents. We find evidence of a significant and robust positive correlation between parent banks’ and foreign subsidiaries’ default risk. This correlation is lower for subsidiaries that have a higher share of retail deposit funding and that are more independently managed from their parents. Host country bank regulations are also associated with the extent to which shocks to the parents affect the subsidiaries’ default risk. In particular, the correlation between the default risk of subsidiaries and their parents is lower for subsidiaries operating in countries that impose higher capital, reserve, provisioning, and disclosure requirements, and tougher restrictions on bank activities.