Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/148113 
Autor:innen: 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
Bank of Canada Staff Working Paper No. 2016-6
Verlag: 
Bank of Canada, Ottawa
Zusammenfassung: 
To address the challenges posed by global systemically important banks (G-SIBs), the Basel Committee on Banking Supervision recommended an "additional loss absorbency requirement" for these institutions. Along these lines, I develop a microfounded design of capital surcharges that target the interconnectedness component of systemic risk. These surcharges increase the costs of establishing interbank connections, which leads to a non-monotonic welfare effect. While reduced interconnectedness decreases welfare by restricting the ability of banks to insure against liquidity shocks, it also increases it by reducing contagion when an interconnected bank fails. Thus, the regulator faces a trade-off between efficiency and financial stability. Furthermore, I show that capital requirements are more effective than default fund contributions when tail-risk exposure is the private information of banks. I conclude by analyzing how resolution regimes and stable funding requirements interact with these surcharges.
Schlagwörter: 
Financial institutions
Financial system regulation and policies
JEL: 
D82
D85
G21
G28
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
872.27 kB





Publikationen in EconStor sind urheberrechtlich geschützt.