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A Pigovian approach to liquidity regulation

Perotti, Enrico C.; Suárez, Javier - 2011

This paper discusses liquidity regulation when short-term funding enables credit growth but generates negative systemic … containing risk and preserving credit quality, while quantity-based fundingratios are distorsionary. Liquidity buffers are either … overconfidence), excess credit and liquidity risk are best controlled with net fundingratios. Taxes on short-term funding emerge …

Persistent link: https://www.econbiz.de/10011383222

Quantifying systemic risk in the presence of unlisted banks : application to the Dutch financial sector

Dimitrov, Daniel; Wijnbergen, Sweder van - 2022

We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. We construct a model that can be estimated from high-frequency CDS data. This captures risks from privately held institutions and cooperative banks, extending approaches that rely on...

Persistent link: https://www.econbiz.de/10013202709

Macroprudential regulation : a risk management approach

Dimitrov, Daniel; Wijnbergen, Sweder van - 2023

We address the problem of regulating the size of banks' macroprudential capital buffers by using market-based estimates of systemic risk and by developing a modeling mechanism through which capital buffers can be allocated efficiently across systemic banks. First, a Distance-to-Default type...

Persistent link: https://www.econbiz.de/10013489714

Quantifying systemic risk in the presence of unlisted banks : application to the European banking sector

Dimitrov, Daniel; Wijnbergen, Sweder van - 2023

We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. We construct a model that can be estimated from high-frequency CDS data. This captures risks from publicly traded banks, privately held institutions, and coöperative banks, extending...

Persistent link: https://www.econbiz.de/10014280065

Systemic risk diagnostics

Schwaab, Bernd; Lucas, André; Koopman, Siem Jan - 2010

A macro-prudential policy maker can manage risks to financial stability only if currentand future risks can be reliably assessed. We propose a novel framework to assessfinancial system risk. Using a dynamic factor framework based on state-space methods, we model latent macro-financial and credit...

Persistent link: https://www.econbiz.de/10011382067

A capital adequacy buffer model

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013

In this paper, we develop a new capital adequacy buffer model (CABM) which is sensitive to dynamic economic circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel combination of the Merton structural model which measures...

Persistent link: https://www.econbiz.de/10010224793

A Pigovian approach to liquidity regulation

Perotti, Enrico C.; Suárez, Javier - 2011

Persistent link: https://www.econbiz.de/10008907842

Insecure debt

Perotti, Enrico C.; Matta, Rafael - 2015 - This Draft: March 16, 2015

always increases it. Regulators need to contain its reinforcing effect on liquidity risk, trading off its role in expanding …

Persistent link: https://www.econbiz.de/10010492342

Unsecured and secured funding

Di Filippo, Mario; Ranaldo, Angelo; Wrampelmeyer, Jan - 2018

provide more secured loans to replace unsecured lending, which is not consistent with speculative or precautionary liquidity …

Persistent link: https://www.econbiz.de/10011818292

Liquidity creation without banks

Kucinskas, Simas - 2015

I revisit the Diamond-Dybvig model of liquidity insurance in the presence of hidden trades. The key result is that in … this environment deposit-taking banks are not necessary for the efficient provision of liquidity. Mutual funds are … constrained efficient when supplemented with the same government liquidity regulation that is required to make a banking system …

Persistent link: https://www.econbiz.de/10011327337

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