Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/53944 
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dc.contributor.authorGauthier, Célineen
dc.contributor.authorLehar, Alfreden
dc.contributor.authorSouissi, Moezen
dc.date.accessioned2011-12-15T12:58:33Z-
dc.date.available2011-12-15T12:58:33Z-
dc.date.issued2010-
dc.identifier.pidoi:10.34989/swp-2010-4en
dc.identifier.urihttp://hdl.handle.net/10419/53944-
dc.description.abstractIn the aftermath of the financial crisis, there is interest in reforming bank regulation such that capital requirements are more closely linked to a bank's contribution to the overall risk of the financial system. In our paper we compare alternative mechanisms for allocating the overall risk of a banking system to its member banks. Overall risk is estimated using a model that explicitly incorporates contagion externalities present in the financial system. We have access to a unique data set of the Canadian banking system, which includes individual banks' risk exposures as well as detailed information on interbank linkages including OTC derivatives. We find that systemic capital allocations can differ by as much as 50% from 2008Q2 capital levels and are not related in a simple way to bank size or individual bank default probability. Systemic capital allocation mechanisms reduce default probabilities of individual banks as well as the probability of a systemic crisis by about 25%. Our results suggest that financial stability can be enhanced substantially by implementing a systemic perspective on bank regulation.en
dc.language.isoengen
dc.publisher|aBank of Canada |cOttawaen
dc.relation.ispartofseries|aBank of Canada Working Paper |x2010-4en
dc.subject.jelG21en
dc.subject.jelC15en
dc.subject.jelC81en
dc.subject.jelE44en
dc.subject.ddc330en
dc.subject.keywordFinancial stabilityen
dc.subject.stwFinanzmarktkriseen
dc.subject.stwAnsteckungseffekten
dc.subject.stwKreditrisikoen
dc.subject.stwBankenaufsichten
dc.subject.stwBankenreformen
dc.subject.stwKanadaen
dc.titleMacroprudential regulation and systemic capital requirements-
dc.typeWorking Paperen
dc.identifier.ppn618958347en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:bca:bocawp:10-4en

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