Substitutability cap spares JP Morgan higher Basel G-Sib score
JP Morgan could be in higher G-Sib bucket with cap removed
The Basel Committee’s long-standing decision to limit the weight given to a bank’s substitutability in its too-big-to-fail designation process continues to benefit JP Morgan by constraining its total systemic risk score, Risk Quantum analysis shows.
Global systemically important banks (G-Sibs) are identified using Basel’s assessment methodology, which assigns a systemic risk score to each firm, calculated by averaging the scores of five indicator categories, one of which is substitutability.
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