microfounded design of capital surcharges that target the interconnectedness component of systemic risk. These surcharges increase … interconnectedness decreases welfare by restricting the ability of banks to insure against liquidity shocks, it also increases it by … reducing contagion when an interconnected bank fails. Thus, the regulator faces a trade-off between efficiency and financial …

. Encumbering assets allows a bank to raise cheap secured debt and expand profitable investment, but it also concentrates risk on …How does asset encumbrance affect the fragility of intermediaries subject to rollover risk? We offer a model in which a … bank issues covered bonds backed by a pool of assets that is bankruptcy remote and replenished following losses …

-party investors increase the insolvency risk of banks. This is particularly likely if a bank sells the senior tranche and retains a … vulnerability to the mechanism. These results are useful for risk managers and banking regulation. The literature on credit risk …The present paper shows that, everything else equal, some transactions to transfer portfolio credit risk to third …

and temper the risk sensitivity of funding costs. This potentially increases the likelihood of bailouts from taxpayers … to understand bank agents' incentives, measure potential resolution costs and assess the credibility of regulatory reform …

We present a simple model to study the risk sensitivity of capital regulation. A banker funds investment with uninsured … banks attract cheaper deposit funding and require less capital. With a noisy signal, risk-sensitive capital regulation can … deposits and costly capital, where capital resolves a moral hazard problem in the banker's choice of risk. Investors are …

regulations, we develop a parsimonious model of bank and market lending in domestic and foreign currency and derive four …

securitization. The Dodd-Frank Act and the EU Securitisation Regulation both impose a 5% mandatory retention requirement to motivate … encourage banks to shift risk. I then provide empirical evidence supporting this unintended consequence: in the US data, banks … rules caused banks to monitor and shift risk simultaneously. According to the model prediction, such a simultaneous increase …