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Évaluation du risque systémique bancaire

Author

Listed:
  • Yann Braouezec

    (LEM - Lille économie management - UMR 9221 - UA - Université d'Artois - UCL - Université catholique de Lille - Université de Lille - CNRS - Centre National de la Recherche Scientifique)

  • Lakshithe Wagalath

    (LEM - Lille économie management - UMR 9221 - UA - Université d'Artois - UCL - Université catholique de Lille - Université de Lille - CNRS - Centre National de la Recherche Scientifique)

Abstract

Le Comité de Bâle a élaboré une méthodologie pour évaluer l'importance systémique d'une banque, qui se mesure par un score final fondé sur cinq indicateurs. Cette approche présente l'avantage d'être simple, mais elle confère à la taille un rôle prédominant. Or les auteurs montrent que ce score final peut conduire à classer un établissement bancaire comme systémiquement important alors qu'il ne présente pas de risque systémique. Les indicateurs les plus importants de ce point de vue sont ceux qui mesurent l'interconnexion de l'établissement avec les « marchés financiers », par exemple ses positions risquées sur des produits dérivés OTC.

Suggested Citation

  • Yann Braouezec & Lakshithe Wagalath, 2016. "Évaluation du risque systémique bancaire," Post-Print hal-01609985, HAL.
    • Handle: RePEc:hal:journl:hal-01609985
    as

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