Antonio Trujillo-Ponce

• Senior Lecturer in Finance
• Managing Director at Pablo de Olavide University

Credit guarantee schemes have emerged as one of the preferred choices for policy makers concerned about financing small and medium-sized enterprises (SMEs). This article assesses the economic impact of a credit guarantee scheme by using data from a Spanish regional guarantee company for the years 2019 and 2020. We employ an input–output (IO) model,...

El presente trabajo expone la relación entre las características asociadas a la mejor supervisión del gobierno corporativo de las entidades financieras y sus efectos tanto en el rendimiento económico, como en su reputación ética. En concreto se analiza, por un lado, el impacto de las políticas de Responsabilidad Social (RS) y en general ligadas a u...

Countries around the world are working hard to fight against the economic crisis caused by the coronavirus pandemic, with a special emphasis on small- and medium-sized enterprises (SMEs) due to their vulnerability and importance in the business ecosystem. This paper analyzes the Spanish guarantee model and the measures taken by regional governments...

Purpose Despite the sophisticated regulatory regime established in Solvency II, analysts should be able to consider other less complex indicators of the soundness of insurers. The Z -score measure, which has traditionally been used as a proxy of individual risk in the banking sector, may be a useful tool when applied in the insurance sector. Howeve...

This paper aims to evaluate the relationship between capital and liquidity creation following the implementation of the Basel III rules. These regulatory measures target both increased capital ratios and a reduction of banks’ maturity transformation risk, which could result in excessive constraints on bank liquidity creation, thereby negatively aff...

This paper analyzes the factors that determine the solvency of insurance companies operating in Spain. The selected time span, from 2008 to 2015, encompasses a period of economic instability characterized by record low interest rates and low or even negative economic growth. Using a dynamic panel data model, we conclude that actual solvency margins...

This article empirically analyzes the effects of revenue diversification on the profitability and risk of a large sample of Eurozone banks over the period from 2000 to 2012. We use the generalized method of moments (GMM) estimator, which is also referred to as the system-GMM estimator. We conclude that higher income diversification favors bank prof...

We use a dynamic panel data model to analyze firm-specific and macroeconomic determinants of solvency for a large sample of Spanish insurance companies. The selected time span, from 2008 to 2015, encompasses a period of economic instability characterized by record-low interest rates and low or even negative economic growth. We conclude that insurer...

This paper examines the association between board characteristics and the ethical reputation of financial institutions. Given the pivotal governance role of the board of directors and the value-relevance of ethical corporate behavior, we postulate a positive relationship between ethical reputation and board features that foster more effective monit...

This article analyzes whether the funds set by the recent EU directives on bank resolution and deposit insurance to create a safer and sounder financial sector (that is, 1 and 0.8 per cent of covered deposits, respectively) are adequate to cover unexpected losses for the Spanish banking system. By applying a framework based on the foundation intern...

This article empirically analyzes the relationship between liquidity creation (or, alternatively, illiquidity) and bank capital in the Eurozone by considering an indicator related to the new liquidity requirements established in Basel III: the inverse of the net stable funding ratio (NSFR). Our sample consists of an unbalanced panel data set of 7,2...

This paper analyses the effects on the Spanish banking system of the new rules for calculating bank contributions to deposit guarantee schemes (DGSs) established by the European Directive dated 16 April 2014. Our sample represents over 90% of the covered deposits in Spain during the period from 2008 to 2014. We follow the guidelines published by th...

This paper empirically analyzes the determinants of credit default swap (CDS) spreads from a sample of 45 listed European banks over the 2004-2010 period. We use variables related to accounting- and market-based data, an indicator of liquidity in the CDS market and several variables from the macroeconomic environment in which these financial instit...

We use a dynamic panel data model to analyze bank-specific and macroeconomic determinants of bank risk for a large sample of commercial banks operating in the euro area. The selected time span, from 2001 to 2012, considers the impact of the on-going financial and economic crisis on the Eurozone banking system. Our results indicate that capitalizati...

This article provides a scenario-based analysis of how the European Union proposal for a new funding model for deposit insurance systems (DISs) would affect the Spanish banking sector. We examine the risk profiles of commercial banks, savings banks and credit cooperatives over the period 2007 to 2011 and compare the contributions to the deposit ins...

The objective of this work is to analyse how the references that the Loan Guarantee Association (LGA) give to the Small and Medium Enterprises (SMEs) influence in the own funds that the International Convergence of Capital Measurement and Capital Standards. A Revised Framework (known as Basel II Accord) requires to the financial entities. With this...

This paper empirically analyses the factors that determine the profitability of Spanish banks for the period of 1999–2009. We conclude that the high bank profitability during these years is associated with a large percentage of loans in total assets, a high proportion of customer deposits, good efficiency and a low doubtful assets ratio. In additio...

This paper analyzes the impact of the guarantee provided by mutual guarantee societies (MGSs) on the risk premium that banks should charge for small- and medium-sized enterprise (SME) loans under the new Basel Capital Accords (Basel II and III). We also examine whether the foreseeable decrease in the theoretical credit risk premium would be compens...

Este trabajo analiza el impacto que tendría en el sector bancario español la aplicación de la propuesta de Directiva europea referente a los sistemas de garantía de depósitos (SGD) de julio de 2010. Con tal fin, se examina el perfil de riesgo de las entidades de crédito conforme a los parámetros definidos por la Directiva durante el período 2007-20...

This paper uses a sample of 2,186 credit default swap spreads quoted in the European market during the period 2002–2009 to empirically analyze which model – accounting- or market-based – better explains corporate credit risk. We find little difference in the explanatory power of these two approaches. Our results indicate that a comprehensive model...

We use a dynamic panel data model to analyze bank-specific and macroeconomic determinants of bank risk for a large sample of commercial banks operating in the euro area. The selected time span, from 2001 to 2012, considers the impact of the on-going financial and economic crisis on the Eurozone banking system. Our results indicate that capitalizati...

This paper analyses the reasons why Spanish banks securitised in the period 2000-2007 on such a large scale that Spain has become the European country with the second-largest issuance volume after the UK. The results obtained by applying a logistic regression model to a sample of 408 observations indicate that liquidity and the search for improved...

Using a sample of 2,186 credit default swap (CDS) spreads quoted in the European market during the period 2002-2009, this paper empirically analyzes which model – accounting- or market-based – better explains corporate credit risk. We find that there is little difference in the explanatory power of the two approaches. Our results suggest that both...

This paper analyses the impact of the new Basel Capital Accords (Basel II and Basel III) on the bank’s capital requirements in a portfolio of Small and Medium-sized Enterprises (SMEs) when the internal ratings-based (IRB) approach is used. To do this, the study uses a large database of Spanish firms and covers the period from 2005 to 2009. We also...

From the beginning of the 1970s to the present day, significant changes have taken place in the competitive and organizational behavior of small and medium-sized companies (SMEs). Recently, some of these factors have applied more intensively, and this has given rise to growth in the number of new companies that undertake overseas operations almost...

The objective of this paper is to analyse the impact of the techniques foreseen in the Basel Agreement II (BII) for mitigating the risk of default on bank loans to small and medium enterprises (SMEs). In particular, we will conduct an analysis of the effect of the guarantees that the Loan Guarantee Association (LGA) offer to the SMEs on the assignm...

El objetivo del presente trabajo es analizar el impacto de las técnicas de mitigación del riesgo de impago previstas en el Acuerdo de Basilea II, en la financiación de las pequeñas y medianas empresas (PYME). En concreto, se analizarán los instrumentos elegibles de los que puede hacer uso las entidades financieras para mitigar el riesgo (bajo la fo...

RESUMEN El objetivo del presente trabajo es analizar cómo influye el aval que las Sociedades de Garantía Recíproca (SGR) conceden a las Pequeñas y Medianas Empresas (PYME) en los fondos propios exigidos a las entidades financieras en el nuevo Acuerdo de Capital, conocido como Basilea II. Con ello se pretende examinar el efecto de la garantía sobre...

The Basle Committee on Banking Supervision has recently published a new Capital Agreement (Basle II) that replaces the agreement of 1988 currently in force. The theoretical inspi-ration for this new Agreement, which is expected to come into force at the end of 2006, is the search for convergence between economic capital and regulatory capital. Thus...

Contenido: Consideraciones generales sobre la valoración de empresas; Valoración estática; Métodos mixtos de valoración; El modelo de mercado y el coste de capital; Modelos de valoración relativa; Modelos de flujos de caja descontados; Medidas de creación de valor para el accionista; La valoración de la renta fija.