Pitfalls in Systemic-Risk Scoring - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2017

Pitfalls in Systemic-Risk Scoring

Résumé

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 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.
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Dates et versions

hal-01485644 , version 1 (09-03-2017)

Identifiants

  • HAL Id : hal-01485644 , version 1

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Sylvain Benoît, Christophe Hurlin, Christophe Pérignon. Pitfalls in Systemic-Risk Scoring. 2017. ⟨hal-01485644⟩
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