Pitfalls in systemic-risk scoring

Autor: Christophe Pérignon, Christophe Hurlin, Sylvain Benoit
Přispěvatelé: Laboratoire d'Economie de Dauphine (LEDa), Université Paris Dauphine-PSL, Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL), Laboratoire d'Économie d'Orleans (LEO), Centre National de la Recherche Scientifique (CNRS)-Université de Tours-Université d'Orléans (UO), Groupement de Recherche et d'Etudes en Gestion à HEC (GREGH), Ecole des Hautes Etudes Commerciales (HEC Paris)-Centre National de la Recherche Scientifique (CNRS), ANR-16-CE26-0015,MultiRisk,Méthodes Econométriques pour la Modélisation des Risques Multiples(2016), Laboratoire d'Économie d'Orleans [FRE2014] (LEO), Université d'Orléans (UO)-Université de Tours (UT)-Centre National de la Recherche Scientifique (CNRS), Stratégie et Dynamiques Financières (LEDA-SDFi), Institut de Recherche pour le Développement (IRD)-Université Paris Dauphine-PSL, Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Centre National de la Recherche Scientifique (CNRS)-Institut de Recherche pour le Développement (IRD)-Université Paris Dauphine-PSL, Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Centre National de la Recherche Scientifique (CNRS), Laboratoire d'Économie d'Orleans [UMR7322] (LEO), Administrateur, Paris Dauphine-PSL
Jazyk: angličtina
Rok vydání: 2019
Předmět:
Economics and Econometrics
regulatory capital
JEL: G - Financial Economics/G.G0 - General/G.G0.G01 - Financial Crises
G-SIFI
Financial system
Financial crises
Macroprudential regulation
JEL: G - Financial Economics/G.G2 - Financial Institutions and Services/G.G2.G21 - Banks • Depository Institutions • Micro Finance Institutions • Mortgages
0502 economics and business
Systemic risk
Capital requirement
Basel Committee
Financial risk and risk management
050207 economics
ComputingMilieux_MISCELLANEOUS
050208 finance
[QFIN]Quantitative Finance [q-fin]
Systemically Important Financial Institutions
05 social sciences
[SHS.ECO]Humanities and Social Sciences/Economics and Finance
JEL: G - Financial Economics/G.G3 - Corporate Finance and Governance/G.G3.G32 - Financing Policy • Financial Risk and Risk Management • Capital and Ownership Structure • Value of Firms • Goodwill
[QFIN] Quantitative Finance [q-fin]
Banking
Incentive
Business
Finance
Zdroj: Journal of Financial Intermediation
Journal of Financial Intermediation, 2019, 38 (April 2019), ⟨10.1016/j.jfi.2018.05.004⟩
Journal of Financial Intermediation, Elsevier, 2019, 38, pp.19-44. ⟨10.1016/j.jfi.2018.05.004⟩
ISSN: 1042-9573
1096-0473
DOI: 10.1016/j.jfi.2018.05.004⟩
Popis: 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 short-comings and increases incentives for banks to reduce their risk contributions. Unlike the current scores, our adjusted scores are mainly driven by risk indicators directly under the control of the regulated bank and not by factors that are exogenous to the bank, such as exchange rates or other banks' actions.
Databáze: OpenAIRE
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