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Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report

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Bibliographic Details
Other Authors: James, Kevin R. [Other] • Valenzuela, Marcela [Other] • Zer, Ilknur [Other]
Type of Resource: E-Book
Language: English
[S.l.] SSRN [2016]
Source: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Summary: Since increasing a bank's capital requirement to improve the stability of the financial system imposes costs upon the bank, a regulator should ideally be able to prove beyond a reasonable doubt that banks classified as systemically risky really do create systemic risk before subjecting them to this capital punishment. Evaluating the performance of two leading systemic risk models, we show that estimation error alone prevents the reliable identification of the most systemically risky banks. We conclude that it will be a considerable challenge to develop a riskometer that is both sound and reliable enough to provide an adequate foundation for macroprudential policy
Item Description: In: Journal of Money, Credit, and Banking, Forthcoming
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 17, 2015 erstellt
Physical Description: 1 Online-Ressource (27 p)
DOI: 10.2139/ssrn.2692086
Access: Open Access