The Systemic Importance of Financial Institutions
13 Pages Posted: 1 Aug 2012
Date Written: September 2009
Prudential tools that target financial stability need to be calibrated at the level of the financial system but implemented at the level of each regulated institution. They require a methodology for the allocation of system-wide risk to the individual institution in line with its systemic importance. This article proposes a general and flexible allocation methodology and uses it to identify and quantify the drivers of systemic importance. It then illustrates how the methodology could be employed in practice, based on a sample of large internationally active institutions.
JEL Classification: C15, C71, G20, G28
Suggested Citation: Suggested Citation