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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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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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Safe but fragile : information acquisition, sponsor support and shadow bank runs
König, Philipp Johann; Pothier, David - 2018
This paper proposes a theory of shadow bank runs in the presence of sponsor liquidity support. We show that liquidity …
Persistent link: https://www.econbiz.de/10011855308
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The Structure of Financial Supervision : A Game Theoretic Approach
Jabotinsky, Hadar Yoana - 2015
overdue. This paper aims to assess the existing structures of financial supervision using game theory concepts. The paper … develops a game theory matrix describing how two regulators working in the same field are expected to interact with each other …, from one financial supervisory structure to the other. The paper concludes with an application in Public Choice theory …
Persistent link: https://www.econbiz.de/10013037183
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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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Lender of last resort policy in a global game and the role of depositors’ aggregate behavior as signaling
Shino, Junnosuke - 2010
Recent funding problems experienced by European sovereigns and the subsequent policy actions taken by European authorities have renewed interest in the international Lender of Last Resort (LLR). This paper constructs a global game LLR model applicable to both domestic and international contexts,...
Persistent link: https://www.econbiz.de/10008657391
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Bail-in und Bank Run : der Einfluss des neuen Bankenrettungsinstruments auf die Finanzsystemstabilität
Stolz-Gerhardt, Vera - 2021
Persistent link: https://www.econbiz.de/10012887798
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Liquidity requirements : a double-edged sword
König, Philipp Johann - In: International journal of central banking : IJCB 11 (2015) 4, pp. 129-168
Persistent link: https://www.econbiz.de/10011628161
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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