Systematically Important Domestic Banks: An Indicator-Based Measurement Approach for the Ukrainian Banking System

Anna Buriak, Serhiy Lyeonov and Tetiana Vasylieva

Prague Economic Papers, 2015, vol. 2015, issue 6, 715-728

Abstract: This study offers a scientific and methodical approach to identifying systemically important domestic banks based on the indicator-based measurement approach recommended by the Basel Committee on Banking Supervision. By improving both a set of criteria and indicators of a bank's systemic importance it is offered to distinguish its five levels - low, moderate, medium, significant and high. The approach was tested on 26 Ukrainian banks representing different groups (depending on the size of assets) according to the classification of the National Bank of Ukraine. We have discovered the absence of banks with high systemic importance in the period 2007-2011 - the majo-rity of banks are characterized by their moderate or low level. In our opinion, the best solution for systemic risk regulation would be the introduction of a differentiated regime of supervision over banks depending on their level of systemic importance and risk profile.

Keywords: systemic risk; systemic importance indicator; size; risk-based bank supervision; interconnectedness (search for similar items in EconPapers)
JEL-codes: E58 G18 G21 (search for similar items in EconPapers)
Date: 2015
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DOI: 10.18267/j.pep.531

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