We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest … contribution of systemic risk by means of Shapley values. Within this framework we analyze the effects of prudential policies on … the stability/efficiency trade-off. Liquidity requirements unequivocally decrease systemic risk but at the cost of lower …

We study the efficiency of banking regulation under financial integration. Banks freely choose the jurisdiction where …

We develop a simple model of banking regulation with two policy instruments: minimum capital requirements and … regulation. Therefore, countries are better off by harmonising regulation on an international standard …

liquidity risk and characterizes them. Both a solvency (leverage) and a liquidity ratio are required to control the …

We show that the impact of government bailouts (liquidity injections) on a representative bank's risk taking depends on … the level of systematic risk of its loans portfolio. In a model where bank's output follows a geometric Brownian motion … decreases (increases) bank's risk taking. Second, the optimal liquidity policy itself depends on systematic risk. Third, the …

incentives to take risk and raise failure probabilities. The competition-stability trade-off is characterized and the … implications of the analysis for regulation and competition policy are derived. It is found that optimal regulation may depend on …

This paper seeks to understand the interplay between banks, bank regulation, sovereign default risk and central bank … cheaply, effectively shifting the risk of some of the potential sovereign default losses on the common central bank … guarantees in a monetary union. I assume that banks can use sovereign bonds for repurchase agreements with a common central bank …

We examine systemic risk in the Chinese banking system by estimating the conditional value at risk (CoVaR), the … China. Although these measures show different patterns, our results suggest that systemic risk in the Chinese banking system … that Chinese banks are at greater risk according to the CoVaR, the SII and the VI approaches, but have the lowest MES …