Pitfalls in systemic-risk scoring - Archive ouverte HAL
Article Dans Une Revue Journal of Financial Intermediation Année : 2019

Pitfalls in systemic-risk scoring

Résumé

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.
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Dates et versions

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

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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⟩
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