There is significant discussion in the academia and industry regarding over-regulation and under-regulation of the financial markets, in particular, banking markets. One of the key measures in such discussion is the intensity of the regulation. The aim of this paper is to contribute to the discussion with development of the overall Regulation Index by introducing the structure and parameters of such index. Authors review current approaches and perspectives of the assessment of the intensity of regulation and develop new Regulation Index. Index data are used from the World Bank’s prepared Bank Regulation and Supervision Survey and the Index of Economic Freedom database. Research methods employed are literature analysis, induction and deduction methods, synthesis, and mathematical analysis. Literature analysis revealed seven key components (building blocks) for the Regulation Index and modelling results revealed the most appropriate set of parameters for those components. Authors set the hypothesis that the order of countries in their stringency of regulatory requirements will be as follows: Germany, UK, USA, Russia. The hypothesis was confirmed in one case and rejected in other cases.