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Using Shapley's Asymmetric Power Index to Measure Banks' Contributions to Systemic Risk

Garratt, Rodney - 2012

generalisation of the Shapley value; a concept originating in co-operative game theory. An important feature of this approach is that …

Persistent link: https://www.econbiz.de/10013098830

Contagious bank runs : experimental evidence

Brown, Martin; Trautmann, Stefan T.; Vlahu, Razvan - 2012

We conduct a laboratory experiment to examine under which circumstances a depositor-run at one bank may lead to a depositor-run at another bank. We implement two-person coordination games which capture the essence of the Diamond-Dybvig (1983) bank-run model. Subjects in the roles of followers...

Persistent link: https://www.econbiz.de/10010407054

Capturing information contagion in a stress-testing framework

Anand, Kartik; Gauthier, Céline; Gai, Prasanna; … - 2016

We develop an operational model of information contagion and show how it may be integrated into a mainstream, top-down, stress-testing framework to quantify systemic risk. The key transmission mechanism is a two-way interaction between the beliefs of secondary market investors and the...

Persistent link: https://www.econbiz.de/10011520642

Bank capital forbearance and serial gambling

Martynova, Natalya; Perotti, Enrico; Suárez, Javier - 2020

We analyze the strategic interaction between undercapitalized banks and a supervisor who may intervene by preventive recapitalization. Supervisory forbearance emerges because political and fiscal costs undermine supervisors' commitment to intervene. When supervisors have lower credibility,...

Persistent link: https://www.econbiz.de/10012301221

Bank capital forbearance

Martynova, Natalya; Perotti, Enrico; Suárez, Javier - 2019

We analyze the strategic interaction between undercapitalized banks and a supervisor who may intervene by preventive recapitalization. Supervisory forbearance emerges because of a commitment problem, reinforced by fiscal costs and constrained capacity. Private incentives to comply are lower when...

Persistent link: https://www.econbiz.de/10012007801

Bank runs, bank competition and opacity

Ahnert, Toni; Martinez-Miera, David - 2021

intermediate socially optimal level of bank competition. We provide a novel theory of bank opacity. The cost of opacity is more …

Persistent link: https://www.econbiz.de/10013329652

Game theory : parts I and II with 88 solved exercises : an open access textbook

Bonanno, Giacomo - 2015

This is a draft of the first half of an open access textbook on game theory. I hope to complete the entire book by the … end of 2015. After teaching game theory (at both the undergraduate and graduate level) at the University of California … theory and there is hardly any need for a new one. However, there are two distinguishing features of this textbook: (1) it is …

Persistent link: https://www.econbiz.de/10011429960

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

A Game Theory Approach to Optimizing the Banking and Financial Resolution Framework

Mitrache, Gabriel - 2022

of assessing through a game theory approach to what extent the BRR Directive has the potential to achieve its purpose and …

Persistent link: https://www.econbiz.de/10013314523

Liquidity and capital requirements and the probability of bank failure

König, Philipp Johann - 2010

Using the model of Rochet and Vives (2004), this note shows that a prudential regulator can in general not mitigate a bank’s failure risk solely by means of liquidity requirements. However, their effectiveness can be restored if, in addition, minimum capital requirements are met. This provides...

Persistent link: https://www.econbiz.de/10003973628