Percorrer por autor "Citterio, Alberto"
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- Bank-specific capital requirements: short and long-run determinantsPublication . Alves, Carlos Francisco; Citterio, Alberto; Marques, Bernardo P.This paper studies the determinants of the Pillar 2 capital requirements (P2R) of banks directly supervised by the ECB between 2016 and 2021. Drawing on the ECB’s Supervisory Review and Evaluation Process (SREP) to identify the list of potential drivers of P2R, we estimate the impact on P2R by employing a method that separates long-run from short-run determinants. Our results suggest that in (i) the long-run, the P2R is mostly driven by credit risk, funding risk, and governance, whereas (ii) profitability and market risk seem to be the main short-run determinants of P2R. Furthermore, we find evidence that suggests the supervisor incorporates proportionality in the P2R decisions. Effectively, our sensitivity analyses show considerable differences in the long-run determinants of P2R according to the level of capital, size, and access to market funding of supervised entities.
- The early days of neobanks in Europe: identification, performance, and riskinessPublication . Citterio, Alberto; Marques, Bernardo P.; Tanda, AlessandraThis paper identifies banks born with a digital business model (‘neobanks’) and examines their performance and riskiness vis-à-vis traditional peers. We propose a novel approach to identify neobanks, based on non-financial hand-collected data, and identify 65 neobanks operating in Europe. We show that neobanks perform worse than their traditional peers, while recording a similar level of risk. Namely, neobanks charge higher interest income, record higher impairment charges, and face higher non-staff expenses. Further analysis suggests the presence of economies of scale and scope in digital banking. Our findings are robust to endogeneity concerns and changes to our baseline specification.