Arbeitspapier
What matters in determining capital surcharges for systemically important financial institutions?
One way of internalizing the externalities that each individual bank imposes on the rest of the financial system is to impose capital surcharges on them in line with their systemic importance. Given the complexity of the financial system and the resulting difficulties in measuring systemic importance, it is sometimes argued that higher capital surcharges should be applied to larger banks, abstracting from other factors like interconnectedness. In this paper, the authors consider different network structures of the banking system that are characterized by two different centrality measures. Their main finding is that size alone is not always a good proxy for systemic importance: it must be supplemented with detailed information on interbank exposures. A relatively small bank playing an outsized role in the interbank market might be more systemic, and thus garner a higher capital surcharge, than a less-connected bank of somewhat larger size. Alternatively, if the centrality of banks in an interbank network is positively correlated with their size, then proxies of a bank's systemic importance largely based on size are sufficient indicators.
- Language
-
Englisch
- Bibliographic citation
-
Series: Bank of Canada Discussion Paper ; No. 2011-9
- Classification
-
Wirtschaft
Financial Crises
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Statistical Simulation Methods: General
Methodology for Collecting, Estimating, and Organizing Microeconomic Data; Data Access
Financial Markets and the Macroeconomy
- Subject
-
Financial system regulation and policies
- Event
-
Geistige Schöpfung
- (who)
-
Gauthier, Céline
Gravelle, Toni
Liu, Xuezhi
Souissi, Moez
- Event
-
Veröffentlichung
- (who)
-
Bank of Canada
- (where)
-
Ottawa
- (when)
-
2011
- DOI
-
doi:10.34989/sdp-2011-9
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Gauthier, Céline
- Gravelle, Toni
- Liu, Xuezhi
- Souissi, Moez
- Bank of Canada
Time of origin
- 2011
Other Objects (12)
Real and nominal frictions within the firm: How lumpy investment matters for price adjustment
How important is liquidity risk for sovereign bond risk premia? Evidence from the London Stock Exchange
How important are liquidity constraints for Canadian households? Evidence from micro-data
How far can forecasting models forecast? Forecast content horizons for some important macroeconomic variables
Measuring systemic importance of financial institutions: An extreme value theory approach
Identifying asymmetric comovements of international stock market returns
On the existence and fragility of repo markets
Sterilized intervention in emerging-market economies: Trends, costs, and risks
Targeting Inflation from Below - How Do Inflation Expectations Behave?
Revisiting National Border Effects in Foreign Trade in Goods of Canadian Provinces
Optimal monetary policy during endogenous housing-market boom-bust cycles
IMF-supported adjustment programs: Welfare implications and the catalytic effect
Real and nominal frictions within the firm: How lumpy investment matters for price adjustment
How important is liquidity risk for sovereign bond risk premia? Evidence from the London Stock Exchange
How important are liquidity constraints for Canadian households? Evidence from micro-data
How far can forecasting models forecast? Forecast content horizons for some important macroeconomic variables
Measuring systemic importance of financial institutions: An extreme value theory approach
Identifying asymmetric comovements of international stock market returns
On the existence and fragility of repo markets
Sterilized intervention in emerging-market economies: Trends, costs, and risks
Targeting Inflation from Below - How Do Inflation Expectations Behave?
Revisiting National Border Effects in Foreign Trade in Goods of Canadian Provinces
Optimal monetary policy during endogenous housing-market boom-bust cycles
IMF-supported adjustment programs: Welfare implications and the catalytic effect
Real and nominal frictions within the firm: How lumpy investment matters for price adjustment
How important is liquidity risk for sovereign bond risk premia? Evidence from the London Stock Exchange
How important are liquidity constraints for Canadian households? Evidence from micro-data
How far can forecasting models forecast? Forecast content horizons for some important macroeconomic variables
Measuring systemic importance of financial institutions: An extreme value theory approach
Identifying asymmetric comovements of international stock market returns
On the existence and fragility of repo markets
Sterilized intervention in emerging-market economies: Trends, costs, and risks
Targeting Inflation from Below - How Do Inflation Expectations Behave?
Revisiting National Border Effects in Foreign Trade in Goods of Canadian Provinces
Optimal monetary policy during endogenous housing-market boom-bust cycles