Systemic risk: Fed methodology out of sync with Basel’s

Different inputs and calculator formulae pose dual test to US banks

The two methodologies used to gauge US banks’ systemic threat differ substantially with each other, complicating dealers’ ability to shrink their systemic footprint and lower applicable capital surcharges, Risk Quantum analysis shows.

US banks are subject to two methods of measuring their systemic riskiness. Method 1, based on the Basel Committee framework, comprises 12 indicators spread across five broad categories: size; interconnectedness; complexity; cross-jurisdictional activity; and

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here