When setting banks’ regulatory capital requirement based on their contribution to the overall risk of the banking system we have to consider that the risk of the banking system as well as each bank’s risk contribution changes once bank equity capital gets reallocated. We define...

One way of internalizing the externalities that each individual bank imposes on the rest of the financial system is to impose capital surcharges on them in line with their systemic importance. Given the complexity of the financial system and the resulting difficulties in measuring systemic...

When regulating banks based on their contribution to the overall risk of the banking system we have to consider that the risk of the banking system as well as each bank's risk contribution changes once bank equity capital gets reallocated. We define macroprudential capital requirements as the...