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dc.creatorBluhm, Marcel
dc.creatorKrahnen, Jan Pieter
dc.date.accessioned2021-09-28T09:19:31Z
dc.date.available2021-09-28T09:19:31Z
dc.date.issued2014-03-30
dc.identifier.urihttps://fif.hebis.de/xmlui/handle/123456789/2149
dc.description.abstractWe analyze the emergence of systemic risk in a network model of interconnected bank balance sheets. The model incorporates multiple sources of systemic risk, including size of financial institutions, direct exposure from interbank lendings, and asset fire sales. We suggest a new macroprudential risk management approach building on a system wide value at risk (SVaR). Under the SVaR metric, the contribution of individual banks to systemic risk is well defined and can be approximated by a Shapley value-type measure. We show that, in a SVaR regime, a fair systemic risk charge which is proportional to a bank's individual contribution to systemic risk diverges from the optimal macroprudential capitalization of the banks from a planner's perspective. The results have implications for the design of macroprudential capital surcharges.
dc.rightsAttribution-ShareAlike 4.0 International
dc.rights.urihttp://creativecommons.org/licenses/by-sa/4.0/
dc.subjectSystemic Risk Lab
dc.subjectMacro Finance
dc.titleSystemic Risk in an Interconnected Banking System with Endogenous Asset Markets
dc.typeWorking Paper
dc.source.filename48_SSRN-id2421265
dc.identifier.safeno48
dc.subject.keywordssystemic risk
dc.subject.keywordssystemic risk charge
dc.subject.keywordsmacroprudential supervision
dc.subject.keywordsshapley value
dc.subject.keywordsfinancial network
dc.subject.jelC15
dc.subject.jelG01
dc.subject.jelG21
dc.subject.jelG28
dc.subject.topic1condition
dc.subject.topic1symmetric
dc.subject.topic1shock
dc.subject.topic2focus
dc.subject.topic2international
dc.subject.topic2systemic
dc.subject.topic3row
dc.subject.topic3degryse
dc.subject.topic3supervisor
dc.subject.topic1nameStability and Regulation
dc.subject.topic2nameCorporate Governance
dc.subject.topic3nameSystematic Risk
dc.identifier.doi10.2139/ssrn.2421265


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