Narrow search
Showing 1 - 10 of 226
Cover Image
The Decline of Solvency Contagion Risk
Bardoscia, Marco - 2017
We study solvency contagion risk in the UK banking system from 2008 to 2015. We develop a model that only accounts for losses transmitted after banks default, but also for losses due to the fact that creditors revalue their exposures when probabilities of default of their counterparties change....
Persistent link: https://www.econbiz.de/10012952936
Cover Image
Equity, Debt and Moral Hazard : The Optimal Structure of Banks’ Loss Absorbing Capacity
Tanaka, Misa - 2018
This paper develops a model to analyse the optimal ex-ante capital and total loss absorbing capacity (TLAC … of a high TLAC requirement and high capital buffer. Our analysis also suggests that higher system-wide risk would call … for a higher capital buffer, but TLAC could be lowered if it does not jeopardise the credibility of bail-in itself …
Persistent link: https://www.econbiz.de/10012913736
Cover Image
Systemic Capital Requirements
Webber, Lewis - 2011
The credit risk that an individual bank poses to the rest of the financial system depends on its size, the type of exposures it has to the real economy, and its obligations to other institutions. This paper describes a system-wide risk management approach to calibrating individual banks' capital...
Persistent link: https://www.econbiz.de/10013119487
Cover Image
Using Shapley's Asymmetric Power Index to Measure Banks' Contributions to Systemic Risk
Garratt, Rodney - 2012
An individual bank can put the whole banking system at risk if its losses in response to shocks push losses for the system as a whole above a critical threshold. We determine the contribution of banks to this systemic risk using a generalisation of the Shapley value; a concept originating in...
Persistent link: https://www.econbiz.de/10013098830
Cover Image
Size and Complexity in Model Financial Systems
Arinaminpathy, Nimalan - 2012
The global financial crisis has precipitated an increasing appreciation of the need for a systemic perspective towards financial stability. For example: What role do large banks play in systemic risk? How should capital adequacy standards recognize this role? How is stability shaped by...
Persistent link: https://www.econbiz.de/10013099669
Cover Image
Rethinking Financial Stability
Aikman, David - 2018
The global financial crisis has been the prompt for a complete rethink of financial stability and policies for achieving it. Over the course of the better part of a decade, a deep and wide-ranging international regulatory reform effort has been under way, as great as any since the Great...
Persistent link: https://www.econbiz.de/10012926536
Cover Image
The Interbank Market Puzzle
Allen, Franklin - 2020
This study documents significant differences in the interbank market lending and borrowing levels across countries. We argue that the existing differences in interbank market usage can be explained by the trust of the market participants in the stability of the country's banking sector and...
Persistent link: https://www.econbiz.de/10012833959
Cover Image
An Overview of the UK Banking Sector Since the Basel Accord : Insights from a New Regulatory Database
de-Ramon, Sebastian - 2017
This paper provides an overview of the dramatic changes in the UK banking sector over the 1989–2013 period, seen through the lens of a newly assembled database built from banks' regulatory reports. This database, which we refer to as the Historical Banking Regulatory Database (HBRD), covers...
Persistent link: https://www.econbiz.de/10012960643
Cover Image
The Leverage Ratio, Risk-Taking and Bank Stability
Acosta Smith, Jonathan - 2019
This paper addresses the trade-off between additional loss-absorbing capacity and potentially higher bank risk-taking associated with the introduction of the Basel III leverage ratio. This is addressed in both a theoretical and empirical setting. Using a theoretical micro model, we show that a...
Persistent link: https://www.econbiz.de/10012897424
Cover Image
Bank Runs, Prudential Tools and Social Welfare in a Global Game General Equilibrium Model
Ikeda, Daisuke - 2020
The regulatory framework of Basel III features joint requirements on bank capital and liquidity. I study such requirements by developing a general equilibrium model with bank runs in a global game framework. The model highlights the role of noisy information for studying liquidity and shows that...
Persistent link: https://www.econbiz.de/10012852107