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Systematically Important Domestic Banks: An Indicator-Based Measurement Approach for the Ukrainian Banking System

Author

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  • Anna Buriak
  • Serhiy Lyeonov
  • Tetiana Vasylieva

Abstract

This study offers a scientific and methodical approach to identifying systemically important domestic banks based on the indicator-based measurement approach recommended by the Basel Committee on Banking Supervision. By improving both a set of criteria and indicators of a bank's systemic importance it is offered to distinguish its five levels - low, moderate, medium, significant and high. The approach was tested on 26 Ukrainian banks representing different groups (depending on the size of assets) according to the classification of the National Bank of Ukraine. We have discovered the absence of banks with high systemic importance in the period 2007-2011 - the majo-rity of banks are characterized by their moderate or low level. In our opinion, the best solution for systemic risk regulation would be the introduction of a differentiated regime of supervision over banks depending on their level of systemic importance and risk profile.

Suggested Citation

  • Anna Buriak & Serhiy Lyeonov & Tetiana Vasylieva, 2015. "Systematically Important Domestic Banks: An Indicator-Based Measurement Approach for the Ukrainian Banking System," Prague Economic Papers, Prague University of Economics and Business, vol. 2015(6), pages 715-728.
    • Handle: RePEc:prg:jnlpep:v:2015:y:2015:i:6:id:531:p:715-728
    DOI: 10.18267/j.pep.531
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    References listed on IDEAS

    as
    1. Acharya, Viral V., 2009. "A theory of systemic risk and design of prudential bank regulation," Journal of Financial Stability, Elsevier, vol. 5(3), pages 224-255, September.
    2. Mathias Drehmann & Nikola Tarashev, 2011. "Systemic importance: some simple indicators," BIS Quarterly Review, Bank for International Settlements, March.
    3. Christian Weistroffer, 2011. "Identifying Systemically Important Financial Institutions (SIFIs)," Working Papers id:4383, eSocialSciences.
    4. Michal Skorepa & Jakub Seidler, 2013. "An Additional capital requirements based on the domestic systemic importance of a bank," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2012/2013, chapter 0, pages 96-102, Czech National Bank.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    systemic risk; systemic importance indicator; size; risk-based bank supervision; interconnectedness;
    All these keywords.

    JEL classification:

    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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