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An Additional capital requirements based on the domestic systemic importance of a bank

In: CNB Financial Stability Report 2012/2013

Author

Listed:
  • Michal Skorepa
  • Jakub Seidler

Abstract

This article is concerned with the regulation of banks on the basis of theirdifferent degrees of systemic importance. It proposes a specific approach to calculating a bank's systemic importance to the domestic banking sector. The article goes on to propose a method for assessing the additional capital requirement for a bank based on the estimated cost impacts of failure of the bank on the Czech financial sector and the economy as a whole. The proposed approach is used to obtain systemic importance scores and capital buffers for individual banks in the Czech Republic. According to the calculations, the highest capital buffer is 4%. However, a non-zero capital buffer should not be interpreted as a signal that the bank is too big to fail and would therefore be guaranteed a public bail-out if it got into difficulties.

Suggested Citation

  • 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.
    • Handle: RePEc:cnb:ocpubc:fsr1213/1
    as

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    File URL: https://www.cnb.cz/en/financial-stability/thematic-articles-on-financial-stability/
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    References listed on IDEAS

    as
    1. Francis X. Diebold & Neil A. Doherty & Richard J. Herring, 2010. "The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice," Economics Books, Princeton University Press, edition 1, number 9223.
    2. Jakub Seidler, 2008. "Implied Market Loss Given Default: structural-model approach," Working Papers IES 2008/26, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2008.
    3. repec:cnb:ocpubc:fsr1112/1 is not listed on IDEAS
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Michal Skorepa & Jakub Seidler, 2015. "Capital buffers based on banks’ domestic systemic importance: selected issues," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 7(3), pages 207-220, August.
    2. Michal Skorepa, 2014. "Concurrent Capital Buffers in a Banking Group," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2013/2014, chapter 0, pages 128-136, Czech National Bank.
    3. 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.
    4. repec:cnb:ocpubv:rb13/1 is not listed on IDEAS
    5. repec:cnb:ocpubv:rb13/2 is not listed on IDEAS
    6. repec:cnb:ocpubv:rb12/2 is not listed on IDEAS
    7. repec:cnb:ocpubv:rb11/2 is not listed on IDEAS
    8. repec:cnb:ocpubv:rb12/1 is not listed on IDEAS

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