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dc.contributor.authorGauthier, Célineen_US
dc.contributor.authorLehar, Alfreden_US
dc.contributor.authorSouissi, Moezen_US
dc.date.accessioned2011-12-15T12:58:33Z-
dc.date.available2011-12-15T12:58:33Z-
dc.date.issued2010en_US
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_US
dc.language.isoengen_US
dc.publisherBank of Canada Ottawaen_US
dc.relation.ispartofseriesBank of Canada Working Paper 2010,4en_US
dc.subject.jelG21en_US
dc.subject.jelC15en_US
dc.subject.jelC81en_US
dc.subject.jelE44en_US
dc.subject.ddc330en_US
dc.subject.keywordFinancial stabilityen_US
dc.subject.stwFinanzmarktkriseen_US
dc.subject.stwAnsteckungseffekten_US
dc.subject.stwKreditrisikoen_US
dc.subject.stwBankenaufsichten_US
dc.subject.stwBankenreformen_US
dc.subject.stwKanadaen_US
dc.titleMacroprudential regulation and systemic capital requirementsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn618958347en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
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