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Quantitative Finance · Glossário

O que é Stress capital buffer, G-SIB surcharge?

Também chamado de: stress capital buffer · G-SIB surcharge

Definition 5.3 The Desk and the Firm · Capítulo 5 — The Bank Markets Division

A stress capital buffer is a capital buffer set from the capital a bank would lose in the supervisor’s severe stress scenario, added to its minimum ratio. A G-SIB surcharge is an additional capital buffer required of a global systemically important bank, set by a score of its size, interconnectedness, complexity, cross-jurisdictional activity and substitutability.

One bank’s two requirements at the end of 2025: CET1 over risk-weighted assets (a 4.5% minimum, a 2.5% stress capital buffer and a 4.5% GSIB surcharge, 11.5%, against 14.6% held) and Tier 1 over leverage exposure (3.0% plus a 2.0% buffer, against 5.8%). Data: JPMorgan Chase & Co., Form 10-K for 2025.
Figure 5.2. One bank’s two requirements at the end of 2025: CET1 over risk-weighted assets (a 4.5% minimum, a 2.5% stress capital buffer and a 4.5% GSIB surcharge, 11.5%, against 14.6% held) and Tier 1 over leverage exposure (3.0% plus a 2.0% buffer, against 5.8%). Data: JPMorgan Chase & Co., Form 10-K for 2025.
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