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Classification of the risk in the new financing framework of the Deposit Guarantee Systems in Europe: K-Means Cluster Analysis and Soft Computing

TitleClassification of the risk in the new financing framework of the Deposit Guarantee Systems in Europe: K-Means Cluster Analysis and Soft Computing
Publication TypeInternational Journal
Year of Publication2017
AuthorsP. Gómez, A. Partal and M. Espinilla
JournalInternational Journal of Computational Intelligence Systems
Volume10
Issue1
Pagination78-89
PublisherAtlantis Press
Place PublishedFrance
ISSN Number1875-6883
Keywordsbanking regulation, deposit guarantee systems, european banking system, k-means, risk classification, Soft Computing
Abstract

The guidelines published by the European Banking Authority in 2015 about the contributions to the Deposit Guarantee Systems, establish two approaches to classify the member entities’ risk: the bucket method and the sliding scale method, allowing freedom to every Member State to decide which methodology to use. In this work, using the bucket method with two different clustering techniques, k-means and soft computing, in a sample that represents more than 90% of the deposits covered in the Spanish banking system during the 2008 to 2014 period, the differences in the distribution of the Deposit Guarantee Fund risk and in the entities’ contributions is analyzed. The obtained results reveal important differences. Consequently, the technique chosen by each country will determine the contributions regime.

URLhttp://dx.doi.org/10.2991/ijcis.2017.10.1.6
DOI10.2991/ijcis.2017.10.1.6
Quartile 
Q3
Impact index 
1,140
Hot paper 
Highly cited