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Why the micro-prudential regulation fails? The impact on systemic risk by imposing a capital requirement
Zhou, Chen - de Nederlandsche Bank - 2010
This paper studies why the micro-prudential regulations fails to maintain a stable financial system by investigating the impact of micro-prudential regulation on the systemic risk in a cross-sectional dimension. We construct a static model for risk-taking behavior of financial institutions and...
Persistent link: https://www.econbiz.de/10008587048
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Risk in Financial Conglomerates: Management and Supervision
Lelyveld, Iman van; Schilder, Arnold - de Nederlandsche Bank - 2002
institutional set-up, we turn to the discussion of the following question: How can a supervisor devise a framework of supervision …
Persistent link: https://www.econbiz.de/10005021889
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Procyclical Bank Risk-Taking and the Lender of Last Resort
Mink, Mark - de Nederlandsche Bank - 2011
We show that through facilitating maturity transformation, the lender of last resort gives banks an incentive to lever, diversify, and lower their lending standards. Bank leverage increases shareholder value because maturity transformation effectively allows banks to borrow against lower...
Persistent link: https://www.econbiz.de/10009192031
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Monetary Policy and Excessive Bank Risk Taking
Agur, Itai; Demertzis, Maria - de Nederlandsche Bank - 2010
This paper shows that a rate hike has countervailing effects on banks' risk appetite. It reduces risk when the debt burden of the banking sector is modest. We model a regulator whose trade-off between bank risk and credit supply is derived from a welfare function. We show that the regulator...
Persistent link: https://www.econbiz.de/10008774017
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Do Financial Markets Expect Bank Defaults to be Contagious?
Mink, Mark - de Nederlandsche Bank - 2010
Simultaneous bank defaults are often attributed to interbank contagion, but can also be due to common shocks affecting banks with similar balance sheets. We disentangle both effects by realising that if financial markets expect a bank's default to be contagious, an increase in this bank's...
Persistent link: https://www.econbiz.de/10008783627
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Capital Regulation and Tail Risk
Perotti, Enrico; Ratnovski, Lev; Vlahu, Razvan - de Nederlandsche Bank - 2011
The paper studies risk mitigation associated with capital regulation, in a context where banks may choose tail risk assets. We show that this undermines the traditional result that higher capital reduces excess risk-taking driven by limited liability. Moreover, higher capital may have an...
Persistent link: https://www.econbiz.de/10009188954
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A Pigovian Approach to Liquidity Regulation
Perotti, Enrico; Suarez, Javier - de Nederlandsche Bank - 2011
This paper discusses liquidity regulation when short-term funding enables credit growth but generates negative systemic risk externalities. It focuses on the relative merit of price versus quantity rules, showing how they target different incentives for risk creation. When banks differ in credit...
Persistent link: https://www.econbiz.de/10009018569
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Bank Risk within and across Equilibria
Agur, Itai - de Nederlandsche Bank - 2011
This paper models a financial sector in which there is a feedback between individual bank risk and aggregate funding market problems. Greater individual risk taking worsens adverse selection problems on the market. But adverse selection premia on that market push up bank risk taking, leading to...
Persistent link: https://www.econbiz.de/10009193243
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New Architectures in the Regulation and Supervision of Financial Markets and Institutions: The Netherlands
Prast, Henriëtte; Lelyveld, Iman van - de Nederlandsche Bank - 2004
In recent years, several European Union member states have modified the institutional design offinancial supervision … the considerations in the Netherlands leading to the choice in 2002 of the twin -peaks model of financial supervision. The … new model is based on the objectives of supervision. Thus, a separate authority is responsible for conduct …
Persistent link: https://www.econbiz.de/10005101800
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Depositor and Investor Protection in the EU and the Netherlands: A Brief History
Garcia, Gillian; Prast, Henriette - de Nederlandsche Bank - 2003
supervision in the Netherlands. It discusses how countries have responded to the EU-directives and to the changes in the financial …
Persistent link: https://www.econbiz.de/10005101939