IDEAS home Printed from https://ideas.repec.org/p/zbw/bubtps/283342.html
   My bibliography  Save this paper

Calibrating capital buffers for other systemically important institutions (O-SIIs) in Germany - Utilising the equal expected impact approach

Author

Listed:
  • Geiger, Sebastian
  • Heires, Marcel
  • Krüger, Ulrich
  • Ludwig, Johannes
  • Vogel, Ursula

Abstract

A new approach, derived from the equal expected impact (EEI) approach, was used for the calibration of the buffers for other systemically important institutions (O-SIIs) in Germany in 2020. This technical paper presents a detailed background to the EEI approach as used for the updated calibration. First, we explain the economic intuition and the theoretical background of the EEI approach. We then proceed to implement it for the German banking system and present the result of its operationalisation. Finally, we discuss limitations of the EEI approach and specify issues to be addressed in future calibration approaches for O-SII buffers.

Suggested Citation

  • Geiger, Sebastian & Heires, Marcel & Krüger, Ulrich & Ludwig, Johannes & Vogel, Ursula, 2022. "Calibrating capital buffers for other systemically important institutions (O-SIIs) in Germany - Utilising the equal expected impact approach," Technical Papers 02/2022, Deutsche Bundesbank.
    • Handle: RePEc:zbw:bubtps:283342
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/283342/1/technical-paper-2022-02.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    O-SII buffer; too-big-to-fail; capital buffer calibration; equal expected impact;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

    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:zbw:bubtps:283342. 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: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/dbbgvde.html .

    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.