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dc.contributor.authorBenoit, Sylvain
dc.contributor.authorHurlin, Christophe
dc.contributor.authorPérignon, Christophe
dc.date.accessioned2019-09-19T14:09:22Z
dc.date.available2019-09-19T14:09:22Z
dc.date.issued2019
dc.identifier.issn1042-9573
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/19849
dc.language.isoenen
dc.subjectBankingen
dc.subjectMacroprudential regulationen
dc.subjectSystemically Important Financial Institutionsen
dc.subjectFinancial crisesen
dc.subjectFinancial risk and risk managementen
dc.subject.ddc332en
dc.subject.classificationjelG.G0.G01en
dc.subject.classificationjelG.G3.G32en
dc.titlePitfalls in systemic-risk scoringen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenIn this paper, we 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 shortcomings and increases incentives for banks to reduce their risk contributions.en
dc.relation.isversionofjnlnameJournal of Financial Intermediation
dc.relation.isversionofjnlvol38en
dc.relation.isversionofjnlissueApril 2019en
dc.relation.isversionofjnldate2019
dc.relation.isversionofjnlpages19-44en
dc.relation.isversionofdoi10.1016/j.jfi.2018.05.004en
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen
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.updated2019-09-19T09:34:21Z
hal.person.labIds163511
hal.person.labIds199945
hal.person.labIds1738
hal.identifierhal-02292305*


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