Price mediated contagion through capital ratio requirements
Price mediated contagion through capital ratio requirements
复制标题
价格通过资本比率要求传导传染
DOI：
10.1016/j.ejor.2021.03.053
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发表时间：
2019
期刊：
影响因子：
--
通讯作者：
Zachary Feinstein
中科院分区：
文献类型：
--
作者：
Tathagata Banerjee;Zachary Feinstein
我们开发了一个金融系统中价格介导的传染框架，其中银行被迫清算资产以满足基于风险权重的资本充足率要求。在构建这个模型框架，我们引入了一个两层定价结构：数量加权平均价格，这是由任何银行清算资产和终端市场价格用于占所有资产在清算过程结束时获得。我们考虑的情况下，多个非流动性资产和发展的清算价格的存在性和唯一性的条件。我们提供了一个封闭的形式表示这些清算价格的系统参数的敏感性，并使用这个结果来量化：（1）监管的成本，在压力情景下，面临的系统作为一个整体和个别银行，（2）提供救助的价值时，考虑这些概念是财务上可取的。数值案例研究提供了研究该模型的数据的应用。
We develop a framework for price-mediated contagion in financial systems where banks are forced to liquidate assets to satisfy a risk-weight based capital adequacy requirement. In constructing this modeling framework, we introduce a two-tier pricing structure: the volume weighted average price that is obtained by any bank liquidating assets and the terminal mark-to-market price used to account for all assets held at the end of the clearing process. We consider the case of multiple illiquid assets and develop conditions for the existence and uniqueness of clearing prices. We provide a closed-form representation for the sensitivity of these clearing prices to the system parameters, and use this result to quantify: (1) the cost of regulation, in stress scenarios, faced by the system as a whole and the individual banks, and (2) the value of providing bailouts to consider when such notions are financially advisable. Numerical case studies are provided to study the application of this model to data.
影响因子：
1
作者：
Bichuch, Maxim;Feinstein, Zachary
通讯作者：
Feinstein, Zachary