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• W4311688517 abstract "Buffers for systemically important institutions (SIIs) were designed to mitigate the risks posed by these large and complex banks. With a panel data model for a sample of listed European banks, we demonstrate that capital requirements for SIIs effectively reduce the perceived systemic risk of these institutions, which we proxy with the SRISK indicator in Brownlees and Engle (2017). We also study the impact of the adjustment mechanisms that banks use to comply with SII buffer requirements and their contribution to systemic risk. The results show that banks mainly respond to higher SII buffers by increasing their equity, as intended by the regulators. Once we control for the options SIIs employ to fulfil these requirements and SII characteristics (e.g. total asset size), we find a residual effect of having SII status. This result suggests that being an SII provides a positive signal to markets by further decreasing its contribution to systemic risk." @default.
• W4311688517 created "2022-12-28" @default.
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• W4311688517 date "2022-12-16" @default.
• W4311688517 modified "2023-10-01" @default.
• W4311688517 title "Do buffer requirements for European systemically important banks make them less systemic?" @default.
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• W4311688517 doi "https://doi.org/10.53479/24876" @default.
• W4311688517 hasPublicationYear "2022" @default.
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