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Systemic Risk Score: A Suggestion

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

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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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