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Preprints, Working Papers, ...

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.
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Preprints, Working Papers, ...
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https://hal-hec.archives-ouvertes.fr/hal-02011444
Contributor : Antoine Haldemann Connect in order to contact the contributor
Submitted on : Thursday, February 7, 2019 - 9:22:05 PM
Last modification on : Tuesday, April 26, 2022 - 10:04:04 AM

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  • HAL Id : hal-02011444, version 1

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

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