Centrality-based capital allocations

Beschreibung

We look at the effect of capital rules on a banking system that is connected through correlated credit exposures and interbank lending. The rules, which combine individual bank characteristics and interconnectivity measures of interbank lending, are to minimize a measure of system-wide losses. Using the detailed German Credit Register for estimation, we find capital rules based on eigenvectors to dominate any other centrality measure, followed by closeness. Compared to the baseline case, capital reallocation based on the Adjacency Eigenvector saves 14.6% in system losses as measured by expected bankruptcy costs.
Steht auch als Elektronisches Dokument zur Verfügung (ISBN 978-3-95729-119-6)

Autor*in

Adrian Alter

Themen in »Centrality-based capital allocations«

Bankenregulierung Netzwerktheorie Risikomodell

Stimmen zu »Centrality-based capital allocations«

Details

Link teilen