Are Basel's Capital Surcharges for Global Systemically Important Banks Too Small?

Wayne Passmore and Alexander H. von Hafften
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Wayne Passmore: Federal Reserve Board
Alexander H. von Hafften: Federal Reserve Board

International Journal of Central Banking, 2019, vol. 15, issue 1, 107-156

Abstract: The Basel Committee promulgates bank regulatory standards, including capital surcharges for global systemically important banks (G-SIBs). Our analysis suggests that the Basel III capital surcharge framework underestimates the probability of bank failure, wrongly disregards short-term funding, and excludes too many banks; our baseline estimate suggests surcharges should increase 3.00 to 8.25 percentage points and that even higher surcharges should apply to G-SIBs that rely on short-term funding. Our findings, which do not account for Basel III beyond the capital surcharges, may differ from the findings of a comprehensive analysis of Basel III.

JEL-codes: G01 G18 G21 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (16)

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