Systemic risk measurement: bucketing global systemically important banks

Abstract The general consensus on the need to enhance resilience of financial system has led imposition higher capital requirements for certain institutions, supposedly based their contribution systemic risk. Global Systemically Important Banks (G-SIBs) are divided into buckets required additional buffers ranging from 1% 3.5%. We measure marginal risk 26 G-SIBs using Distressed Insurance Premium methodology proposed by Huang et al. (J Bank Financ 33:2036–2049, 2009) and examine ranking consistency with that SRISK Acharya (Am Econ Rev 102:59–64, 2012). then compare bucketing two academic approaches supervisory buckets. Because it leads surcharges, should be consistent, irrespective methodology. Instead, discrepancies in allocation between emerge this suggests complementary use other methodologies.