Domestic Systemically Important Banks: An Indicator-Based Measurement Approach for the Australian Banking System

Patrick Brämer () and Horst Gischer ()
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Patrick Brämer: Faculty of Economics and Management, Otto-von-Guericke University Magdeburg
Horst Gischer: Faculty of Economics and Management, Otto-von-Guericke University Magdeburg

No 120003, FEMM Working Papers from Otto-von-Guericke University Magdeburg, Faculty of Economics and Management

Abstract: This paper serves as a response to the assessment methodology of the Basel Committee on Banking Supervision to identify systemically important banks. Based on the official technique, which requires an extensive collection of bank data, our paper develops a practicable modification. Utilising readily available indicators, we determine the domestic systemic risk of each licensed bank in Australia in the period 2002-2011. Our quantitative results uncover not only high levels of systemic risk for the four major banks, but their rising dominance during the global financial crisis. Consequently, we introduce a regulatory proposal that enables authorities to reduce the systemic risk of individual institutions.

Keywords: Basel III; financial regulation; indicator-based measurement; systemic risk (search for similar items in EconPapers)
JEL-codes: G01 G18 G21 L50 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2012-01
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Persistent link: https://EconPapers.repec.org/RePEc:mag:wpaper:120003

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