Pitfalls in systemic-risk scoring

Sylvain Benoit, Christophe Hurlin and Christophe Perignon ()

Journal of Financial Intermediation, 2019, vol. 38, issue C, 19-44

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.

Keywords: Banking; Macroprudential regulation; Systemically Important Financial Institutions; Financial crises; Financial risk and risk management (search for similar items in EconPapers)
JEL-codes: G01 G32 (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (24)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1042957318300366
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Pitfalls in systemic-risk scoring (2019)
Working Paper: Pitfalls in Systemic-Risk Scoring (2017)
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:eee:jfinin:v:38:y:2019:i:c:p:19-44

DOI: 10.1016/j.jfi.2018.05.004

Access Statistics for this article

Journal of Financial Intermediation is currently edited by Elu von Thadden

More articles in Journal of Financial Intermediation from Elsevier
Bibliographic data for series maintained by Catherine Liu ().