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Where is the System?

Benoit, Sylvain (2014), Where is the System?, International Economics, 138, p. 1-27. 10.1016/j.inteco.2013.11.004

Type
Article accepté pour publication ou publié
Date
2014
Journal name
International Economics
Volume
138
Publisher
Elsevier
Pages
1-27
Publication identifier
10.1016/j.inteco.2013.11.004
Metadata
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Author(s)
Benoit, Sylvain
Abstract (EN)
The aim of this paper is to determine the optimal size of the system (global, supranational or national) when measuring the systemic importance of a bank. Since 2011, the Basel Committee on Banking Supervision (BCBS) has tagged global systemically important banks (G-SIBs) and has imposed a higher regulatory capital of loss absorbency (HLA) requirement. However, the identification of G-SIBs may overlook banks with major domestic systemic importance, i.e. the domestic systemically important banks (D-SIBs). This paper describes how to adjust market-based systemic risk measures to identify D-SIBs. In an empirical analysis within the eurozone, I show that (i) the SRISK methodology produces similar rankings whatever the system used. However, (ii) the SRISK values greatly vary across systems, which calls for imposing the higher of either D-SIB or G-SIB HLA requirements. Finally, (iii) the ΔCoVaR methodology is extremely sensitive to the choice of the system.
Subjects / Keywords
Systemic risk; Financial regulation; SRISK; G-SIBs; D-SIBs
JEL
G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
G28 - Government Policy and Regulation
G01 - Financial Crises

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