Domestic Systemically Important Banks

An Indicator-Based Measurement Approach for the Australian Banking System

  • Patrick Brämer
  • Horst Gischer
Schlagworte: Basel III, financial regulation, indicator-based measurement, systemic risk


This paper serves as a response to the assessment methodology of the Basel Committee on Banking Supervision to identify systemically important banks. Based on the official technique, which requires an extensive collection of bank data, our paper develops a practicable modification. Utilising readily available indicators, we determine the domestic systemic risk of each licensed bank in Australia in the period 2002-2011. Our quantitative results uncover not only high levels of systemic risk for the four major banks, but their rising dominance during the global financial crisis. Consequently, we introduce a regulatory proposal that enables authorities to reduce the systemic risk of individual institutions.