Modelling systemically important banks vis-à-vis the basel prudential guidelines
| Autor: | Kevin James Daly, M. Zulkifli Salim |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: |
G210
G28 bank supervision Theoretical models Accounting Basel systemic bank risk modelling Benchmark (surveying) 0502 economics and business systemic risk Systemic risk ddc:330 050207 economics 050208 finance Supervisor business.industry 05 social sciences Expected shortfall Ranking HD61 HG1-9999 Risk in industry. Risk management G21 Business Finance G280 |
| Zdroj: | Journal of Risk and Financial Management, Vol 14, Iss 295, p 295 (2021) Journal of Risk and Financial Management Volume 14 Issue 7 |
| Popis: | Our paper investigates Indonesia’s systemically important banks (SIBs) using theoretical approaches—CoVaR, marginal expected shortfall (MES), and SRISK—to compare with the Basel guidelines as benchmark. We use Indonesian banks’ market and supervisory data over the 2008–2019 period. The research aims to seek intertheoretical model interaction and SIB ranking in concordance with the Basel guidelines as applied by a bank supervisor. The findings show that SRISK produced a more consistent ranking compared with CoVaR and MES. CoVaR and MES had higher intermodel correlation converted to 59% similarity in rankings. Further, all theoretical models are in line with the Basel guidelines, where the closest approximation is at 47%. The results indicate that policy makers could use scholarly models as validation tools and help improve supervision decision to identify systemically important institutions. |
| Databáze: | OpenAIRE |
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