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27 septembre 2013
- ISIDORE Id: 10670/1.26f2a3...
- halshs: halshs-00867063
info:eu-repo/semantics/OpenAccess
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Systemic risk score G-SIFIsSujets proches
BiasCiter ce document
Christophe Hurlin et al., « Systemic Risk Score: A Suggestion », HAL SHS (Sciences de l’Homme et de la Société), ID : 10670/1.26f2a3...
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We identify a potential bias in the methodology disclosed in July 2013 by the Basel Committee on Banking Supervision (BCBS) for identifying systemically important financial banks. Contrary to the original objective, the relative importance of the five categories of risk importance (size, cross-jurisdictional activity, interconnectedness, substitutability/financial institution infrastructure, and complexity) may not be equal and the resulting systemic risk scores are mechanically dominated by the most volatile categories. In practice, this bias proved to be serious enough that the substitutability category had to be capped by the BCBS. We show that the bias can be removed by simply standardizing each input prior to computing the systemic risk scores.
