Systemic Risk Score: A Suggestion

Christophe Hurlin and Christophe Perignon (perignon@hec.fr)

Working Papers from HAL

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: G-SIFI; regulatory capital; Basel Committee (search for similar items in EconPapers)
Date: 2013-09-28
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Working Paper: Systemic Risk Score: A Suggestion (2013)
Working Paper: Systemic Risk Score: A Suggestion (2013)
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