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Family matters: Concurrent capital buffers in a banking group

By Michal Sko\u159epa


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

Topics: F23, G21, G28, ddc:330, capital, buffers, Basel III, probability of bank failure, banking group, parent, subsidiary, regulatory consolidation
Publisher: Prague: Charles University in Prague, Institute of Economic Studies (IES)
Year: 2014
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Provided by: EconStor

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