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Operationalising the countercyclical capital buffer: indicator selection, threshold identification and calibration options

Author

Listed:
  • Detken, Carsten
  • Weeken, Olaf
  • Alessi, Lucia
  • Bonfim, Diana
  • Boucinha, Miguel
  • Castro, Christian
  • Frontczak, Sebastian
  • Giordana, Gaston
  • Giese, Julia
  • Wildmann, Nadya
  • Kakes, Jan
  • Klaus, Benjamin
  • Lang, Jan Hannes
  • Puzanova, Natalia
  • Welz, Peter

Abstract

This paper presents the analysis underpinning the ESRB Recommendation on guidance on setting countercyclical buffer rates (ESRB 2014/1). The Recommendation is designed to help authorities tasked with setting the countercyclical capital buffer (CCB) to operationalise this new macroprudential instrument. It follows on from the EU prudential rules for the banking system that came into effect on 1 January 2014. JEL Classification: G21, G18, E58

Suggested Citation

  • Detken, Carsten & Weeken, Olaf & Alessi, Lucia & Bonfim, Diana & Boucinha, Miguel & Castro, Christian & Frontczak, Sebastian & Giordana, Gaston & Giese, Julia & Wildmann, Nadya & Kakes, Jan & Klaus, B, 2014. "Operationalising the countercyclical capital buffer: indicator selection, threshold identification and calibration options," ESRB Occasional Paper Series 5, European Systemic Risk Board.
    • Handle: RePEc:srk:srkops:20145
    Note: 229418
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    More about this item

    Keywords

    banking regulation; countercyclical capital buffer; systemic risk;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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