Journal
JOURNAL OF BANKING & FINANCE
Volume 37, Issue 4, Pages 1243-1257Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.jbankfin.2012.11.017
Keywords
Systemic risk; Systemic risk contributions; Systemic capital charge; Countercyclical capital buffer; Expected shortfall; Importance sampling
Categories
Ask authors/readers for more resources
We put forward a framework for measuring systemic risk and attributing it to individual banks. Systemic risk is coherently measured as the expected loss to depositors and investors when a systemic event occurs. The risk contributions are calculated so as to ensure a full risk allocation among institutions. Applying our methodology to a panel of 54-86 of the world's major commercial banks for a 13-year time span with monthly frequency not only allows us to closely match the list of G-SIBs; we can also use individual risk contributions to compute bank-specific surcharges: systemic capital charges as well as countercyclical buffers. We therefore address both dimensions of systemic risk - cross-sectional and time-series - in a single integrated approach. As the analysis of risk drivers confirms, the main focus of macroprudential supervision should be on a solid capital base throughout the financial cycle and de-correlation of banks' asset values. (C) 2013 Elsevier B.V. All rights reserved.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available