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The systemic importance of financial institutions

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Author Info
Nikola Tarashev
Claudio Borio
Kostas Tsatsaronis
Abstract

Prudential tools that target financial stability need to be calibrated at the level of the financial system but implemented at the level of each regulated institution. They require a methodology for the allocation of system-wide risk to the individual institution in line with its systemic importance. This article proposes a general and flexible allocation methodology and uses it to identify and quantify the drivers of systemic importance. It then illustrates how the methodology could be employed in practice, based on a sample of large internationally active institutions.

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Publisher Info
Article provided by Bank for International Settlements in its journal BIS Quarterly Review.

Volume (Year): (2009)
Issue (Month): (September)
Pages:
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Handle: RePEc:bis:bisqtr:0909h

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Find related papers by JEL classification:
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C71 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Cooperative Games
G20 - Financial Economics - - Financial Institutions and Services - - - General
G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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This page was last updated on 2009-12-8.

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