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Séminaires Rennes Fac Sc. éco.

 

 

Faculté des Sciences économiques de Rennes - 7, place Hoche

Le jeudi de 12h30 à 13h45, salle De Robien

Organisateurs :
Marie-Hélène Hubert, Thomas Le Texier, Guillaume L’Oeillet

 

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  • Séminaire du jeudi 30 mars 2017
    Salle De Robien, de 12h30 à 13h45
Intervenant Christophe Hurlin - LEO, Université d’Orléans
Titre / title « Pitfalls in Systemic-Risk Scoring »
co-écrit avec / co-authored with Sylvain Benoît et Christophe Pérignon
Abstract We identify several shortcomings in the systemic-risk scoring methodology currently used to identify and regulate Systemically Important Financial Institutions (SIFIs). Using newly-disclosed regulatory data for 119 US and international banks, we show that the current scoring methodology severely distorts the allocation of regulatory capital among banks. We then propose and implement a methodology that corrects for these short-comings and increases incentives for banks to reduce their risk contributions. Unlike the current scores, our adjusted scores are mainly driven by risk indicators directly under the control of the regulated bank and not by factors that are exogenous to the bank, such as exchange rates or other banks’ actions.
Lien / download 2017-03-30_Hurlin_SSRN-id2332030.pdf
Lien / download 2017-03-30_Hurlin_abstract.pdf

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