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Bank Capital Regulation and Systemic...
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The University of North Carolina at Chapel Hill.
Bank Capital Regulation and Systemic Risk in the Presence of Endogenous Fire Sales.
紀錄類型:
書目-語言資料,手稿 : Monograph/item
正題名/作者:
Bank Capital Regulation and Systemic Risk in the Presence of Endogenous Fire Sales./
作者:
Rosen, Samuel.
面頁冊數:
1 online resource (91 pages)
附註:
Source: Dissertation Abstracts International, Volume: 79-10(E), Section: A.
Contained By:
Dissertation Abstracts International79-10A(E).
標題:
Finance. -
電子資源:
click for full text (PQDT)
ISBN:
9780438033795
Bank Capital Regulation and Systemic Risk in the Presence of Endogenous Fire Sales.
Rosen, Samuel.
Bank Capital Regulation and Systemic Risk in the Presence of Endogenous Fire Sales.
- 1 online resource (91 pages)
Source: Dissertation Abstracts International, Volume: 79-10(E), Section: A.
Thesis (Ph.D.)--The University of North Carolina at Chapel Hill, 2018.
Includes bibliographical references
In a model with heterogeneous banks and endogenous fire sales, the tightening of bank capital regulation can aggravate fire sales, leading to larger bank losses and higher systemic risk. When calibrated to the data, the least costly policies to mitigate systemic risk raise both ex ante capital requirements and ex post shortfall penalties. These policies also assign relatively higher capital requirements to banks that can better offset price declines during a fire sale, consistent with the recently implemented capital surcharge for global systemically important banks (G-SIBs). My findings provide further support for leading-edge macroprudential tools, including stress tests and countercyclical capital buffers.
Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018
Mode of access: World Wide Web
ISBN: 9780438033795Subjects--Topical Terms:
559073
Finance.
Index Terms--Genre/Form:
554714
Electronic books.
Bank Capital Regulation and Systemic Risk in the Presence of Endogenous Fire Sales.
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Source: Dissertation Abstracts International, Volume: 79-10(E), Section: A.
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In a model with heterogeneous banks and endogenous fire sales, the tightening of bank capital regulation can aggravate fire sales, leading to larger bank losses and higher systemic risk. When calibrated to the data, the least costly policies to mitigate systemic risk raise both ex ante capital requirements and ex post shortfall penalties. These policies also assign relatively higher capital requirements to banks that can better offset price declines during a fire sale, consistent with the recently implemented capital surcharge for global systemically important banks (G-SIBs). My findings provide further support for leading-edge macroprudential tools, including stress tests and countercyclical capital buffers.
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