Publication detail

Family matters: Concurrent capital buffers in a banking group

Author(s): Mgr. Michal Skořepa Ph.D,
Type: IES Working Papers
Year: 2014
Number: 21
ISSN / ISBN:
Published in: IES Working Papers 21/2014
Publishing place: Prague
Keywords: capital, buffers, Basel III, probability of bank failure, banking group, parent, subsidiary, regulatory consolidation
JEL codes: F23, G21, G28
Suggested Citation: Skořepa M. (2014). “Family matters: Concurrent capital buffers in a banking group” IES Working Paper 21/2014. IES FSV. Charles University.
Abstract: We simulate how the probability of failure of a subsidiary and the group changes after a capital buffer is imposed on the group as a whole and/or the subsidiary. The simulation takes into account the relative sizes of the parent and the subsidiary, the parent’s share in the subsidiary, the similarity between the business models of the parent and the subsidiary, and the preparedness of the parent to support the subsidiary if the latter is in danger of failing.
Downloadable: wp_2014_21_Skorepa
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