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Rollover risk, liquidity and macroprudential regulation

Ahnert, Toni - 2014

I study rollover risk in the wholesale funding market when intermediaries can hold liquidity ex ante and are subject to fire sales ex post. Precautionary liquidity restores multiple equilibria in a global rollover game. An intermediate liquidity level supports both the usual run equilibrium and...

Persistent link: https://www.econbiz.de/10010360348

Valuation and Systemic Risk Consequences of Bank Opacity

Jones, Jeffrey S. - 2014

We examine the effects of opacity on bank valuation and the synchronicity of bank equity prices over the years 2000 … controlling for profitability, have larger valuation discounts relative to transparent assets. We observe a decline in the … rise in bank equity share prices, decrease in transparent asset holdings by banks, and greater price synchronicity …

Persistent link: https://www.econbiz.de/10013070815

Bank networks : contagion, systemic risk and prudential policy

Aldasoro, Iñaki; Delli Gatti, Domenico; Faia, Ester - 2015 - This Draft: July 2015

We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest in non-liquid assets. Market clearing takes place through a tâtonnement process which yields the equilibrium price, while traded quantities are determined by means of a...

Persistent link: https://www.econbiz.de/10012061674

Should bank capital regulation be risk sensitive?

Ahnert, Toni; Chapman, James; Wilkins, Carolyn - 2018

We present a simple model to study the risk sensitivity of capital regulation. A banker funds investment with uninsured deposits and costly capital, where capital resolves a moral hazard problem in the banker's choice of risk. Investors are uninformed about investment quality, but a regulator...

Persistent link: https://www.econbiz.de/10011903813

Stress test precision and bank competition

Moreno, Diego; Takalo, Tuomas - 2024

of bank failure is sufficiently large, the surplus as well. Our results in overall highlight the need to take into …

Persistent link: https://www.econbiz.de/10014464895

Regulating Systemic Risk

Kawai, Masahiro - 2010

The failure to spot emerging systemic risk and prevent the current global financial crisis warrants a reexamination of the approach taken so far to crisis prevention. The paper argues that financial crises can be prevented, as they build up over time due to policy mistakes and eventually erupt...

Persistent link: https://www.econbiz.de/10013145394

Systemic effects of bank equity issues : competition, stabilization and contagion

Dinger, Valeriya; Marincas, Vlad; Vallascas, Francesco - 2018

We evaluate the abnormal returns of issuing and non-issuing banks around the announcement of Seasoned Equity Offerings (SEOs) and explore how the market reaction is influenced by aggregate systemic conditions and by the systemic risk contribution and exposure of banks. While we find evidence of...

Persistent link: https://www.econbiz.de/10011791471

Bank Resolution, Regulatory Arbitrage, and Systemic Risk

Altieri, Michela; Radev, Deyan - 2022

Are bank resolution regimes effective enough to improve financial stability? We look at the effect of the new bank …

Persistent link: https://www.econbiz.de/10013293062

How excessive is banks' maturity transformation?

Segura, Anatoli; Suárez, Javier - 2016

We quantify the gains from regulating maturity transformation in a model of banks which finance long-term assets with non-tradable debt. Banks choose the amount and maturity of their debt trading off investors' preference for short maturities with the risk of systemic crises. Pecuniary...

Persistent link: https://www.econbiz.de/10011974655

Law, Bubbles, and Financial Regulation - Chapter 1 - The Regulatory Instability Hypothesis

Gerding, Erik F. - 2019

Persistent link: https://www.econbiz.de/10012905124

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