A proposal for a composite indicator based on ratios (CIBOR) to compare the evolution of Spanish financial institutions

IF 2 Q2 ECONOMICS Central Bank Review Pub Date : 2024-06-14 DOI:10.1016/j.cbrev.2024.100160

Julián Llorent-Jurado, Ignacio Contreras, Flor María Guerrero-Casas

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Abstract

This paper introduces a new Financial Stress Indicator (FSI) named Composite Indicator Based on Ratios (CIBOR). This paper discusses the importance of monitoring the quality of loans and capital, operational performance, profitability, and liquidity of financial institutions to prevent systemic risks in the financial system. To address this, CIBOR is proposed as a means to indirectly capture the instability of a financial entity by identifying potential tensions and their underlying causes. Specifically, we compare the results for 25 financial entities operating in the Spanish banking market, analysing the evolution since 2018 to 2022. CIBOR permits a straight interpretation of the variations between periods and a dynamic analysis that not only measures the variation between the ratios over time, but also identifies the sources of such variations: variations derived from changes in sub-indicators, changes stemming from the oscillation of the baseline, and the impact of the selection of weights in the construction of the composite indicator.

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建议采用基于比率的综合指标（CIBOR）来比较西班牙金融机构的演变情况

本文介绍了一种新的金融压力指标（FSI），名为基于比率的综合指标（CIBOR）。本文论述了监控金融机构的贷款和资本质量、经营业绩、盈利能力和流动性对防范金融体系系统性风险的重要性。为此，我们提出了同业拆借利率作为一种手段，通过识别潜在的紧张关系及其根本原因来间接捕捉金融实体的不稳定性。具体而言，我们比较了在西班牙银行业市场运营的 25 家金融实体的结果，分析了自 2018 年至 2022 年的演变情况。CIBOR 可以直接解释不同时期之间的变化，还可以进行动态分析，不仅可以测量不同时期比率之间的变化，还可以确定这些变化的来源：子指标变化引起的变化、基线振荡引起的变化以及在构建综合指标时选择权重的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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