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hal.structure.identifierLaboratoire d'Economie de Dauphine [LEDa]
dc.contributor.authorBenoit, Sylvain*
hal.structure.identifier
dc.contributor.authorHurlin, Christophe*
hal.structure.identifier
dc.contributor.authorPérignon, Christophe*
dc.date.accessioned2017-03-09T10:11:20Z
dc.date.available2017-03-09T10:11:20Z
dc.date.issued2017
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/16305
dc.language.isoenen
dc.subjectG-SIFI
dc.subjectregulatory capital
dc.subjectBasel Committee
dc.subjectG21
dc.subject.ddc332en
dc.subject.classificationjelG.G2.G21en
dc.titlePitfalls in Systemic-Risk Scoring
dc.typeDocument de travail / Working paper
dc.contributor.editoruniversityotherUniversité d'Orléans
dc.contributor.editoruniversityotherHEC
dc.description.abstractenWe 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 short-comings and increases incentives for banks to reduce their risk contributions. Unlike the current scores, our adjusted scores are mainly driven by risk indicators directly under the control of the regulated bank and not by factors that are exogenous to the bank, such as exchange rates or other banks' actions.
dc.identifier.citationpages73
dc.relation.ispartofseriestitleHEC Paris Research Paper
dc.relation.ispartofseriesnumberN° FIN-2013-1005
dc.identifier.urlsitehttps://ssrn.com/abstract=2332030
dc.subject.ddclabelEconomie financièreen
dc.description.ssrncandidatenon
dc.description.halcandidatenon
dc.description.readershiprecherche
dc.description.audienceInternational
dc.date.updated2019-09-23T09:52:38Z
hal.identifierhal-01485644*
hal.version1*
hal.author.functionaut
hal.author.functionaut
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