This paper analyses the evolution of the safety and soundness of the European banking sector during the various stages of the Basel process of capital regulation. We document the evolution of various measures of systemic risk as the Basel process unfolds. Most strikingly we find that the exposure to systemic risk as measured by SRISK has been steeply rising for the highest quintile, moderately rising for the second quintile, and remaining roughly stationary for the remaining three quintiles of listed European banks. This observation suggests that during the Basel process, systemic risk has been contained for the majority of European banks, but not for the largest and riskiest institutions. When analyzing the sources of systemic risk we find compelling evidence that the increase in exposure to systemic risk (SRISK) is tied to the implementation of internal models for determining credit risk, as well as market risk. Based on this evidence, the sub-prime crisis found especially the largest and more systemic banks ill-prepared and lacking resiliency. This condition has been aggravated during the European sovereign crisis. The Banking Union has not restored aggregate resiliency to pre-crisis levels. Finally, low-interest rates considerably affect the contribution to systemic risk, particularly for the riskier banks.

本文分析了在巴塞尔资本监管过程的各个阶段，欧洲银行业的安全性和稳健性的演变。随着巴塞尔进程的展开，我们记录了各种系统性风险指标的演变。最引人注目的是，我们发现，以 SRISK 衡量的系统性风险敞口在最高的五分之一中急剧上升，在第二个五分之一中适度上升，而其余三个五分之一的欧洲上市银行基本保持稳定。这一观察表明，在巴塞尔协议过程中，大多数欧洲银行的系统性风险得到了控制，但最大和风险最高的机构却没有。在分析系统性风险的来源时，我们发现令人信服的证据表明，系统性风险敞口 (SRISK) 的增加与确定信用风险和市场风险的内部模型的实施有关。基于这一证据，次贷危机发现，尤其是规模最大、系统性更强的银行准备不足，缺乏弹性。这种情况在欧洲主权危机期间更加严重。银行业联盟尚未将总体弹性恢复到危机前的水平。最后，低利率极大地影响了对系统性风险的贡献，尤其是对风险较高的银行。这种情况在欧洲主权危机期间更加严重。银行业联盟尚未将总体弹性恢复到危机前的水平。最后，低利率极大地影响了对系统性风险的贡献，尤其是对风险较高的银行。这种情况在欧洲主权危机期间更加严重。银行业联盟尚未将总体弹性恢复到危机前的水平。最后，低利率极大地影响了对系统性风险的贡献，尤其是对风险较高的银行。