Capital regulation under price impacts and dynamic financial contagion
Capital regulation under price impacts and dynamic financial contagion
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价格影响和动态金融传染下的资本监管
DOI：
10.1016/j.ejor.2019.08.044
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发表时间：
2018
期刊：
影响因子：
--
通讯作者：
Zachary Feinstein
中科院分区：
文献类型：
--
作者：
Zachary Feinstein
我们构建了一个连续时间模型，价格介导的传染沉淀的共同的外源性压力的银行账户中的所有公司在金融体系中。在这种情况下，公司受到约束，以满足基于风险权重的资本比率要求。我们使用这个模型来找到分析边界的风险权重的资产作为市场流动性的函数。在这些适当的风险权重下，我们发现企业行为和资产价格的联合系统的存在性和唯一性。我们进一步考虑了公司清算的分析界限，这使我们能够构建精确的公式进行压力测试的金融系统与确定性或随机应力。数值案例研究，以证明这个模型和分析界限的各种影响。
We construct a continuous time model for price-mediated contagion precipitated by a common exogenous stress to the banking book of all firms in the financial system. In this setting, firms are constrained so as to satisfy a risk-weight based capital ratio requirement. We use this model to find analytical bounds on the risk-weights for assets as a function of the market liquidity. Under these appropriate risk-weights, we find existence and uniqueness for the joint system of firm behavior and the asset prices. We further consider an analytical bound on the firm liquidations, which allows us to construct exact formulas for stress testing the financial system with deterministic or random stresses. Numerical case studies are provided to demonstrate various implications of this model and analytical bounds.
影响因子：
1
作者：
Bichuch, Maxim;Feinstein, Zachary
通讯作者：
Feinstein, Zachary