The general consensus on the need to enhance the resilience of the financial system has led to the imposition of higher capital requirements for certain institutions, supposedly based on their contribution to systemic risk. Global Systemically Important Banks (G-SIBs) are divided into buckets based on their required additional capital buffers ranging from 1% to 3.5%. We measure the marginal contribution to systemic risk of 26 G-SIBs using the Distressed Insurance Premium methodology proposed by Huang et al. (J Bank Financ 33:2036–2049, 2009) and examine ranking consistency with that using the SRISK of Acharya et al. (Am Econ Rev 102:59–64, 2012). We then compare the bucketing using the two academic approaches and supervisory buckets. Because it leads to capital surcharges, bucketing should be consistent, irrespective of methodology. Instead, discrepancies in the allocation between buckets emerge and this suggests the complementary use of other methodologies.

Systemic risk measurement: bucketing global systemically important banks / Brogi, M.; Lagasio, V.; Riccetti, L.. - In: ANNALS OF FINANCE. - ISSN 1614-2446. - 17:3(2021), pp. 319-351. [10.1007/s10436-021-00391-7]

Systemic risk measurement: bucketing global systemically important banks

Brogi M.;Lagasio V.;
2021

Abstract

The general consensus on the need to enhance the resilience of the financial system has led to the imposition of higher capital requirements for certain institutions, supposedly based on their contribution to systemic risk. Global Systemically Important Banks (G-SIBs) are divided into buckets based on their required additional capital buffers ranging from 1% to 3.5%. We measure the marginal contribution to systemic risk of 26 G-SIBs using the Distressed Insurance Premium methodology proposed by Huang et al. (J Bank Financ 33:2036–2049, 2009) and examine ranking consistency with that using the SRISK of Acharya et al. (Am Econ Rev 102:59–64, 2012). We then compare the bucketing using the two academic approaches and supervisory buckets. Because it leads to capital surcharges, bucketing should be consistent, irrespective of methodology. Instead, discrepancies in the allocation between buckets emerge and this suggests the complementary use of other methodologies.
2021
Capital requirements; Financial crisis; Financial regulation; Global systemically important banks; Systemic risk
01 Pubblicazione su rivista::01a Articolo in rivista
Systemic risk measurement: bucketing global systemically important banks / Brogi, M.; Lagasio, V.; Riccetti, L.. - In: ANNALS OF FINANCE. - ISSN 1614-2446. - 17:3(2021), pp. 319-351. [10.1007/s10436-021-00391-7]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1614236
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