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Pitfalls in systemic-risk scoring
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DOI：10.1016/j.jfi.2018.05.004.png)
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Abstract
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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.
Keywords:
Banking
Macroprudential regulation
Systemically Important Financial Institutions
Financial crises
Financial risk and risk management
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