The problem of credit risk management at commercial banks is solved using the stochastic dominance criteria supplementing them with the voting theory elements. The developed stochastic dominance algorithm is based on an investment approach whose basic concept consists in management of both...

At the forefront of macroeconomic research on the causes of the Great Financial Cri- sis (GFC) was and still is the usage of dynamic stochastic general equilibrium (DSGE) models. To capture the nonlinearities of the GFC, these models were enriched with a variety of financial frictions. This...

The paper develops a theoretical framework to analyze the connection between the structure of banking networks and their resilience to systemic shocks. We base our analysis on the model of interbank contagion proposed by Cifuentes, Ferrucci and Shin (2005), which accounts for the impact of...

This paper empirically investigates how organizational hierarchy affects the allocation of credit within a bank. Using an exogenous variation in organizational design, induced by a reorganization plan implemented in roughly 2,000 bank branches in India during 1999 - 2006, and employing a...

This paper proposes a stochastic model of a bipartite credit network between banks and the non-bank corporate sector that encapsulates basic stylized facts found in comprehensive data sets for bank-firm loans for a number of countries. When performing computational experiments with this model,...

This paper proposes a stochastic model of a bipartite credit network between banks and the non-bank corporate sector that encapsulates basic stylized facts fond in comprehensive data sets for bank-firm loans for a number of countries. When performing computational experiment with this mode, we...

This paper empirically investigates how the level of authority delegation is related to the performance of an organization. Decentralized, horizontal organizational structure takes advantage of more efficient decision making, mainly due to more efficient use of "soft" information. The cost of...

The game-theoretical analysis of this paper shows that stress tests that cover the entire banking sector (macro stress tests) can be performed by institutional supervisors to improve welfare. In a multi-receiver framework of Bayesian persuasion we show that a banking authority can create value...

English Abstract: Financial liberalization accelerates global banks’ entry into new markets where host countries hope to spur investment and economic growth. However, banks sometimes retreat from their global ambitions and exit these new markets. This study demonstrates how difficulties of...

We study the optimal precision of public information disclosures about banks assets quality. In our model the precision of information affects banks' cost of raising funding and asset profile riskiness. In an imperfectly competitive banking sector, banks'stability and social surplus are...