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Family matters: Concurrent capital buffers in a banking group

Author

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  • Michal Skorepa

    (Czech National Bank)

Abstract

We simulate how the probability of failure of a subsidiary and the group changes after a capital buffer is imposed on the group as a whole and/or the subsidiary. The simulation takes into account the relative sizes of the parent and the subsidiary, the parent’s share in the subsidiary, the similarity between the business models of the parent and the subsidiary, and the preparedness of the parent to support the subsidiary if the latter is in danger of failing.

Suggested Citation

  • Michal Skorepa, 2014. "Family matters: Concurrent capital buffers in a banking group," Working Papers IES 2014/21, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2014.
    • Handle: RePEc:fau:wpaper:wp2014_21
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    File URL: http://ies.fsv.cuni.cz/sci/publication/show/id/5191/lang/cs
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    More about this item

    Keywords

    capital; buffers; Basel III; probability of bank failure; banking group; parent; subsidiary; regulatory consolidation;
    All these keywords.

    JEL classification:

    • F23 - International Economics - - International Factor Movements and International Business - - - Multinational Firms; International Business
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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