Critiques fondamentales du SRISK

Franck Bancel, Nicolas Darbo and Henri Philippe

Revue d'économie financière, 2014, vol. N° 116, issue 4, 333-352

Abstract: The SRISK measures the need for recapitalization of a financial institution conditional to a market shock of great importance. Widely disseminated in the academic community, in professional circles (financial analysts, economic research services, regulators, etc.) and in some mainstream media, the SRISK is posted for a large number of financial institutions with regular updates on web sites. In this paper, we present some weaknesses that are strong limits of the SRISK model. They concern in particular the lack of definition of the ?k? ratio, applying the same approach to fundamentally different financial institutions and taking into account the market value of equity in a prudential framework. At the confluence of macroeconomics, finance and regulation, the measurement of systemic risk cannot be based on a single criterion uniformly imposed to all financial institutions. At this stage of its development, SRISK cannot be used to define normatively capital requirements of financial institutions. Classification JEL: G21, G28.

JEL-codes: G21 G28 (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.cairn.info/load_pdf.php?ID_ARTICLE=ECOFI_116_0333 (application/pdf)
http://www.cairn.info/revue-d-economie-financiere-2014-4-page-333.htm (text/html)
free

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cai:refaef:ecofi_116_0333

Access Statistics for this article

More articles in Revue d'économie financière from Association d'économie financière
Bibliographic data for series maintained by Jean-Baptiste de Vathaire ().