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

In: CNB Financial Stability Report 2012/2013

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Author Info

  • 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.

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Bibliographic Info

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This chapter was published in: Michal Skorepa & Jakub Seidler CNB Financial Stability Report 2012/2013, , chapter Thematic Article 1, pages 96-102, 2013.

This item is provided by Czech National Bank, Research Department in its series Occasional Publications - Chapters in Edited Volumes with number fsr1213/1.

Handle: RePEc:cnb:ocpubc:fsr1213/1

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References

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  1. Zlatuse Komarkova & Vaclav Hausenblas & Jan Frait, 2012. "How To Identify Systemically Important Financial Institutions," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2011/2012, chapter 0, pages 100-111 Czech National Bank, Research Department.
  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.
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Citations

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Cited by:
  1. Michal Skorepa & Jakub Seidler, 2014. "Capital Buffers Based on Banks' Domestic Systemic Importance: Selected Issues," Research and Policy Notes 2014/01, Czech National Bank, Research Department.
  2. Robert Ambrisko & Vitezslav Augusta & Jan Babecky & Michal Franta & Dana Hajkova & Petr Kral & Jan Libich & Pavla Netusilova & Milan Rikovsky & Jakub Rysanek & Pavel Soukup & Petr Stehlik & Vilem Vale, 2013. "Macroeconomic Effects of Fiscal Policy," Occasional Publications - Edited Volumes, Czech National Bank, Research Department, edition 2, volume 11, number rb11/2 edited by Jan Babecky & Kamil Galuscak, August.

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