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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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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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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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Basel II und internes Rating : ökonomische Analyse der Regelungen zur Kreditvergabe an Unternehmen der Neuen Basler Eigenkapitalvereinbarung in der Version vom Januar 2001
Humpert, Oliver (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001820963
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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
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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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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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Strategic Loan Defaults and Coordination : An Experimental Analysis
Trautmann, Stefan - 2011
This paper experimentally studies the impact of uncertainty about bank and borrower fundamentals on loan repayment. We find that solvent borrowers are more likely to default strategically when stricter disclosure creates common knowledge about bank weakness. Borrowers are also less likely to...
Persistent link: https://www.econbiz.de/10013118964
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Strategic Loan Defaults and Coordination : An Experimental Analysis
Trautmann, Stefan - 2011
This paper experimentally studies the impact of uncertainty about bank and borrower fundamentals on loan repayment. We find that solvent borrowers are more likely to default strategically when stricter disclosure creates common knowledge about bank weakness. Borrowers are also less likely to...
Persistent link: https://www.econbiz.de/10013121627