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How to Identify Domestic Systematicaly Important Institutions (D-SIFI)
Melichar, Matěj ; Seidler, Jakub (advisor) ; Benčík, Daniel (referee)
1 Abstract The 2007 financial crisis has highlighted the problem of so-called "too-big-to-fail" financial institutions. These institutions are so large, interconnected and complex that their failure can cause significant distress in the financial system or even trigger a systemic crisis. In order to address the systemic risk posed by these institutions it is first necessary to identify them. BCBS has proposed a methodology to assess the systemic importance of global banks. This paper presents a methodology for identification of Czech domestic systemically important banks. The method is based on balance sheet indicators of banks. The assessment is using the data for years 2008-2012 and identifies four banks as systemically important for the Czech banking sector. Keywords Systemic importance, systemically important banks, SIFI Author's e-mail matej.melichar@seznam.cz Supervisor's e-mail seidler@fsv.cuni.cz
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How to Identify Domestic Systematicaly Important Institutions (D-SIFI)
Melichar, Matěj ; Seidler, Jakub (advisor) ; Benčík, Daniel (referee)
1 Abstract The 2007 financial crisis has highlighted the problem of so-called "too-big-to-fail" financial institutions. These institutions are so large, interconnected and complex that their failure can cause significant distress in the financial system or even trigger a systemic crisis. In order to address the systemic risk posed by these institutions it is first necessary to identify them. BCBS has proposed a methodology to assess the systemic importance of global banks. This paper presents a methodology for identification of Czech domestic systemically important banks. The method is based on balance sheet indicators of banks. The assessment is using the data for years 2008-2012 and identifies four banks as systemically important for the Czech banking sector. Keywords Systemic importance, systemically important banks, SIFI Author's e-mail matej.melichar@seznam.cz Supervisor's e-mail seidler@fsv.cuni.cz
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Capital Buffers Based on Banks’ Domestic Systemic Importance: Selected Issues
Skořepa, Michal ; Seidler, Jakub
Regulators in many countries are currently considering ways to impose domestic systemic importance-based capital requirements on banks. Aiming to assist these considerations, this article discusses a number of issues concerning the calculation of a bank’s systemic importance to the domestic banking sector, such as the choice of indicators used and the pros and cons of focusing on an individual or consolidated level. Also, the “equal expected impact” procedure for determining adequate additional capital requirements is presented in detail and some of its properties are discussed. As an illustrative example of the practical use of the procedures presented, systemic importance scores and implied capital buffers are calculated for banks in the Czech Republic. The article also stresses the crucial role of public communication of the motivation for the buffers: regulators should make every effort to explain that the imposition of a non-zero systemic importance-based capital buffer on a bank is not to be interpreted by the markets 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.
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