Afficher la notice abrégée

dc.contributor.authorBenoit, Sylvain
dc.contributor.authorHurlin, Christophe
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-SIFIen
dc.subjectregulatory capitalen
dc.subjectBasel Committeeen
dc.subject.ddc332en
dc.subject.classificationjelG.G2.G21en
dc.titlePitfalls in Systemic-Risk Scoringen
dc.typeDocument de travail / Working paper
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.en
dc.identifier.citationpages73en
dc.relation.ispartofseriestitleHEC Paris Research Paperen
dc.relation.ispartofseriesnumberN° FIN-2013-1005en
dc.identifier.urlsitehttps://ssrn.com/abstract=2332030en
dc.subject.ddclabelEconomie financièreen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2017-03-09T09:50:46Z
hal.person.labIds433520
hal.person.labIds199945
hal.person.labIds1738
hal.identifierhal-01485644*


Fichiers attachés à cette notice

FichiersTailleFormatConsulter

Il n'y a pas de fichiers associés à cette notice.

Ce document fait partie de la (des) collection(s) suivante(s)

Afficher la notice abrégée