Where is the System? (Article non disponible)

Mercredi | 2013-04-10

Sylvain BENOIT

The aim of this paper is to emphasize the importance of choosing the level of the system (global, european or national) when dealing with systemic risk. Up to now, additional supervision and regulation were established for global systemically important banks, G-SIBs. The paper highlights the need for managing domestic systemically important banks, D-SIBs. This issue is central when focusing on Europe where each country should identify its D-SIBs whereas the Basel Committee on Banking Supervision (BCBS) tags G-SIBs, not only European banks. Thus, monitoring G-SIBs does not mean we cover the systemic risk both at European and domestic level. In this paper, we show that (i ) the popular Systemic Risk Measure (SRISK) produces similar ranking whatever the system used; (ii ) however SRISK’s values, according to the system, can be largely di¤erent underlining the requirement of a higher loss absorbency (HLA); (iii ) market-based systemic risk measures (SRMs) as the CoVaR, which capture the degree of interconnectedness with the return correlation are unstable. These …ndings are described through an empirical application within the eurozone.