Systemic Risk Score: A Suggestion - HEC Paris - École des hautes études commerciales de Paris Access content directly
Preprints, Working Papers, ... Year : 2013

Systemic Risk Score: A Suggestion

Abstract

In this paper, we identify several shortcomings in the systemic-risk scoring methodology currently used to identify and regulate Systemically Important Financial Institutions (SIFIs). Using newly-disclosed regulatory data for 119 US and international banks, we show that the current scoring methodology severely distorts the allocation of regulatory capital among banks. We then propose and implement a methodology that corrects for these shortcomings and increases incentives for banks to reduce their risk contributions.
No file

Dates and versions

hal-02011444 , version 1 (07-02-2019)

Licence

Copyright

Identifiers

  • HAL Id : hal-02011444 , version 1

Cite

Christophe Hurlin, Christophe Pérignon. Systemic Risk Score: A Suggestion. 2013. ⟨hal-02011444⟩
30 View
0 Download

Share

Gmail Mastodon Facebook X LinkedIn More