Prague Economic Papers 2015, 24(6):715-728 | DOI: 10.18267/j.pep.531

Systematically Important Domestic Banks: An Indicator-Based Measurement Approach for the Ukrainian Banking System

Anna Buriak1, Serhiy Lyeonov2, Tetiana Vasylieva3
1 Ukrainian Academy of Banking of the National Bank of Ukraine, Sumy, Ukraine (a.buryak@mail.ru).
2 Ukrainian Academy of Banking of the National Bank of Ukraine, Sumy, Ukraine (svl76@mail.ru).
3 Ukrainian Academy of Banking of the National Bank of Ukraine, Sumy, Ukraine (tavasilyeva@ukr.net).

This study offers a scientific and methodical approach to identifying systemically important domestic banks based on the indicator-based measurement approach recommended by the Basel Committee on Banking Supervision. By improving both a set of criteria and indicators of a bank's systemic importance it is offered to distinguish its five levels - low, moderate, medium, significant and high. The approach was tested on 26 Ukrainian banks representing different groups (depending on the size of assets) according to the classification of the National Bank of Ukraine. We have discovered the absence of banks with high systemic importance in the period 2007-2011 - the majo-rity of banks are characterized by their moderate or low level. In our opinion, the best solution for systemic risk regulation would be the introduction of a differentiated regime of supervision over banks depending on their level of systemic importance and risk profile.

Keywords: systemic risk, systemic importance indicator, size, risk-based bank supervision, interconnectedness
JEL classification: E58, G18, G21

Published: January 1, 2015  Show citation

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Buriak, A., Lyeonov, S., & Vasylieva, T. (2015). Systematically Important Domestic Banks: An Indicator-Based Measurement Approach for the Ukrainian Banking System. Prague Economic Papers24(6), 715-728. doi: 10.18267/j.pep.531
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