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Regulatory competition and multi-national banking
Dalen, Dag Morten; Olsen, Trond E. - 2003
This paper focuses on the consequences of cross-border banking and entry of multi-national banks (MNBs) for banking supervision and regulation. When a MNB expands internationally with subsidiaries, the MNB operates under the legislation of several countries - both the home country and the host...
Persistent link: https://www.econbiz.de/10011508005
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Optimal Bank Transparency
Moreno, Diego - 2015
Consider a competitive bank whose illiquid asset portfolio is funded by short-term debt that has to be refinanced before the asset matures. We show that in this setting maximal transparency is not socially optimal, and that the existence of social externalities of bank failures further lowers...
Persistent link: https://www.econbiz.de/10013037132
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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
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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
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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
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Bank capital forbearance
Martynova, Natalya; Perotti, Enrico C.; 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
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Strategic complementarity, fragility, and regulation
Vives, Xavier - 2011 - Rev. May 2011
The paper analyzes a very stylized model of crises and demonstrates how the degree of strategic complementarity in the actions of investors is a critical determinant of fragility. It is shown how the balance sheet composition of a financial intermediary, parameters of the information structure...
Persistent link: https://www.econbiz.de/10009230899
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Persuasion by stress testing : optimal disclosure of supervisory information in the banking sector
Gick, Wolfgang; Pausch, Thilo - 2012
enhance welfare. The paper offers a new theory to explain why stress tests are generally welfare enhancing. We also offer a …
Persistent link: https://www.econbiz.de/10009674818
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The new Basel accord and the nature of risk : a game theoretic perspective
Bieta, Volker; Broll, Udo; Milde, Hellmuth; Siebe, Wilfried - 2007
- game theory is a useful set of tools for better understanding different risk settings. Embedded in a short history of the … Basel Accord in this article we introduce some basic ideas of game theory in the context of rating procedures in accordance … with Basel II. As well, some insight is given how game theory works. Here, the primary value of game theory stems from its …
Persistent link: https://www.econbiz.de/10003481314
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Incentive-based lending capacity, competition, and regulation in banking
Chiesa, Gabriella - In: Journal of financial intermediation 10 (2001) 1, pp. 28-53
Persistent link: https://www.econbiz.de/10001567410