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dc.contributor.authorBenoit, Sylvain*
dc.date.accessioned2017-03-15T15:25:13Z
dc.date.available2017-03-15T15:25:13Z
dc.date.issued2014
dc.identifier.issn2110-7017
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/16370
dc.language.isoenen
dc.subjectSystemic risken
dc.subjectFinancial regulationen
dc.subjectSRISKen
dc.subjectG-SIBsen
dc.subjectD-SIBsen
dc.subject.ddc332.1en
dc.subject.classificationjelG.G3.G32en
dc.subject.classificationjelG.G2.G28en
dc.subject.classificationjelG.G0.G01en
dc.titleWhere is the System?en
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThe 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.en
dc.relation.isversionofjnlnameInternational Economics
dc.relation.isversionofjnlvol138en
dc.relation.isversionofjnldate2014
dc.relation.isversionofjnlpages1-27en
dc.relation.isversionofdoi10.1016/j.inteco.2013.11.004en
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelInstitutions financières, banques et opérations bancaires (prêt, crédit)en
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2017-03-15T10:49:09Z
hal.person.labIds433520*
hal.identifierhal-01490644*


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