Family matters: Concurrent capital buffers in a banking group

Michal Skořepa ()

No 2014/21, Working Papers IES from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

Abstract: We simulate how the probability of failure of a subsidiary and the group changes after a capital buffer is imposed on the group as a whole and/or the subsidiary. The simulation takes into account the relative sizes of the parent and the subsidiary, the parent’s share in the subsidiary, the similarity between the business models of the parent and the subsidiary, and the preparedness of the parent to support the subsidiary if the latter is in danger of failing.

Keywords: capital; buffers; Basel III; probability of bank failure; banking group; parent; subsidiary; regulatory consolidation (search for similar items in EconPapers)
JEL-codes: F23 G21 G28 (search for similar items in EconPapers)
Pages: 22pages
Date: 2014-07, Revised 2014-07
New Economics Papers: this item is included in nep-cmp and nep-rmg
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