Domestic Systemically Important Banks: An Indicator-Based Measurement Approach for the Australian Banking System
AbstractThis paper serves as a response to the assessment methodology of the Basel Committee on Banking Supervision to identify systemically important banks. Based on the official technique, which requires an extensive collection of bank data, our paper develops a practicable modification. Utilising readily available indicators, we determine the domestic systemic risk of each licensed bank in Australia in the period 2002-2011. Our quantitative results uncover not only high levels of systemic risk for the four major banks, but their rising dominance during the global financial crisis. Consequently, we introduce a regulatory proposal that enables authorities to reduce the systemic risk of individual institutions.
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Bibliographic InfoPaper provided by Otto-von-Guericke University Magdeburg, Faculty of Economics and Management in its series FEMM Working Papers with number 120003.
Length: 24 pages
Date of creation: Jan 2012
Date of revision:
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More information through EDIRC
Basel III; financial regulation; indicator-based measurement; systemic risk;
Find related papers by JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- L50 - Industrial Organization - - Regulation and Industrial Policy - - - General
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CEPR Discussion Papers
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