Saturday | 26 Sep 2020
CEPS Project

How to make SRF-contributions really risk based?

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The project aims at assessing the validity of the current SRF contributions and assess potential alternatives for the calibration of the risk-based factor that better captures the risk that the bank poses to the SRF. It includes the following tasks:
1. Estimate the risk adjustment factor and contribution to the SRF for individual banks and banking groups.
2. Perform a comparative analysis of the composite risk factor used for SRF contributions against other supervisory risk assessments and market indicators.
3. Estimate the potential and ‘expected’ pay-out from the SRF in case of failure.
4. Design a real risk-based contribution to the SRF.
A combination of literature review, semi-structured interviews, data-collection and analysis, simulations and econometrical analysis is used to conduct the analysis.