. This paper aims to resolve a part of the opaqueness surrounding credit-risk allocation to tranches that represent claims of … different seniority on a reference portfolio. In particular, this paper analyzes the allocation of credit risk to different … risk in CDO transactions. We propose a metric for capturing the allocation of systematic risk to tranches. First, in …

allocation of risky projects within the banking sector. Moreover, we show that mandatory deferral of compensation is weakly …

the entire financial system more fragile. This result leaves three directions for the future of financial regulation …

due to the regulation, which leads to a downward jump in social welfare. Furthermore, we present various structures of … social welfare with respect to the level of skin in the game, and clarify the necessity of countercyclical regulation by … verifying that the social losses of the current regulation become more severe during recession …

around the Dodd-Frank Act, a major banking regulation with size thresholds. We provide empirical evidence that supports the …

allocation principle distributes the total systemic risk among individual institutions according to their size-shifted marginal …