IDEAS home Printed from https://ideas.repec.org/a/cai/refaef/ecofi_116_0333.html
   My bibliography  Save this article

Critiques fondamentales du SRISK

Author

Listed:
  • Franck Bancel
  • Nicolas Darbo
  • Henri Philippe

Abstract

The SRISK measures the need for recapitalization of a financial institution conditional to a market shock of great importance. Widely disseminated in the academic community, in professional circles (financial analysts, economic research services, regulators, etc.) and in some mainstream media, the SRISK is posted for a large number of financial institutions with regular updates on web sites. In this paper, we present some weaknesses that are strong limits of the SRISK model. They concern in particular the lack of definition of the ?k? ratio, applying the same approach to fundamentally different financial institutions and taking into account the market value of equity in a prudential framework. At the confluence of macroeconomics, finance and regulation, the measurement of systemic risk cannot be based on a single criterion uniformly imposed to all financial institutions. At this stage of its development, SRISK cannot be used to define normatively capital requirements of financial institutions. Classification JEL: G21, G28.

Suggested Citation

  • Franck Bancel & Nicolas Darbo & Henri Philippe, 2014. "Critiques fondamentales du SRISK," Revue d'économie financière, Association d'économie financière, vol. 0(4), pages 333-352.
    • Handle: RePEc:cai:refaef:ecofi_116_0333
    as

    Download full text from publisher

    File URL: http://www.cairn.info/load_pdf.php?ID_ARTICLE=ECOFI_116_0333
    Download Restriction: free
    File URL: http://www.cairn.info/revue-d-economie-financiere-2014-4-page-333.htm
    Download Restriction: free
    ---><---

    More about this item

    JEL classification:

    • 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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cai:refaef:ecofi_116_0333. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Jean-Baptiste de Vathaire (email available below). General contact details of provider: https://www.cairn.info/revue-d-economie-financiere.htm .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.