BCBS published a working paper that analyzes the initial experience with the global systemically important bank (G-SIB) framework. The paper investigates whether G-SIBs and non-G-SIBs have behaved differently since the implementation of the G-SIB framework and if observed differences in behavior are in accordance with the aims of the framework. It also examines the regional differences in the behavior of G-SIBs and non-G-SIBs.
The analysis reveals that G-SIBs and non-G-SIBs behave differently; however, both groups are heterogeneous, so that the indicator outcomes are often highly influenced by a few banks. Nevertheless, most G-SIBs have reduced their G-SIB scores during the period assessed, changing their balance sheets in ways that are consistent with the aims of the G-SIB framework. In contrast, non-G-SIBs have increased their relative G-SIB scores during the same period. Finally, the regional analysis indicates that trends in banks' G-SIB indicators, and the indicators that contribute most to the final G-SIB score, are heterogeneous across countries and regions. While G-SIBs from the euro area, Great Britain, and the United States have reduced their systemic importance for most indicators, Chinese and Japanese G-SIBs showed relatively positive growth rates for all indicators—and particularly high ones for indicators in the substitutability category.""
For this analysis, the sample of G-SIBs and non-G-SIBs were divided into six and 10 countries or regions. G-SIBs were grouped into United States, Euro area, non-euro area, Great Britain, China, and Japan. The non-G-SIBs were grouped into euro area (Belgium, France, Germany, Italy, the Netherlands, and Spain); non-euro area, United States, Canada, China, Australia, Japan, Korea, and Others (non-G-SIBs of Brazil, India, Russia, and Singapore).
Keywords: International, Banking, G-SIB, Systemic Risk, G-SIB Framework, Macro-prudential Assessment, BCBS
Sam leads the quantitative research team within the CreditEdge™ research group. In this role, he develops novel risk and forecasting solutions for financial institutions while providing thought leadership on related trends in global financial markets.
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