Le modèle de Dermine est-il un moyen efficace pour déterminer les réglementations prudentielles ?

Abstract

This thesis aims at detecting if the Dermine model related to the revisited Klein-Monti model could influence or prefigure the prudential regulations to be more efficient. Jean Dermine suggests an optimization model on the profitability and develops the Klein-Monti model by adding the default risk. Indeed, the Dermine model prefigures the foundations of the prudential regulations regarding capital because the regulation is based on the fact that the capital has to cover the default risk of banks. Moreover the first Basel Accord, published only four years after the Dermine model, is limited to the credit risk like the Dermine model. However the approaches are different because Dermine considers the level of capital according to the deposit and credit rates and the regulation sets the level of capital according to the Risk Weighted Asset. The objective of this thesis is also to detect if its predictions could challenge the regulation. Thanks to these models, an empirical analysis attempts to test if a deposit insurance can be a progress to protect depositors and ensure the financial stability, if the credit default swap can be an efficient instrument for the regulations and finally if a more controlled competition could have a positive impact on the depositors’ confidence and on the financial stability. The results of this study show that the Dermine model was a good progress to determine the prudential regulations. Despite the fact that a more controlled competition within the banking sector, the credit default swap as well as the deposit insurance are not complete enough to protect depositors against the risk exposure and ensure a global financial and banking stability.