Domestic Systemically Important Banks: An Indicator-Based Measurement Approach for the Australian Banking System
This 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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- Viral Acharya & Tanju Yorulmazer, 2007.
"Too many to fail - an analysis of time-inconsistency in bank closure policies,"
Bank of England working papers
319, Bank of England.
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