Operationalising the Countercyclical Capital Buffer: Indicator Selection, Threshold Identification and Calibration Options
95 Pages Posted: 5 Nov 2020
Date Written: June, 2014
This paper presents the analysis underpinning the ESRB Recommendation on guidance on setting countercyclical buffer rates (ESRB 2014/1). The Recommendation is designed to help authorities tasked with setting the countercyclical capital buffer (CCB) to operationalise this new macroprudential instrument. It follows on from the EU prudential rules for the banking system that came into effect on 1 January 2014.
Keywords: banking regulation, countercyclical capital buffer, systemic risk
JEL Classification: G21, G18, E58
Suggested Citation: Suggested Citation