Pitfalls in systemic-risk scoring - Archive ouverte HAL
Journal Articles Journal of Financial Intermediation Year : 2019

Pitfalls in systemic-risk scoring

Abstract

In 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.
No file

Dates and versions

hal-02292305 , version 1 (19-09-2019)

Identifiers

Cite

Sylvain Benoît, Christophe Hurlin, Christophe Pérignon. Pitfalls in systemic-risk scoring. Journal of Financial Intermediation, 2019, 38, pp.19-44. ⟨10.1016/j.jfi.2018.05.004⟩. ⟨hal-02292305⟩
86 View
0 Download

Altmetric

Share

More