Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154329
Authors: 
Hałaj, Grzegorz
Year of Publication: 
2016
Series/Report no.: 
ECB Working Paper 1896
Abstract: 
Theoretically optimal responses of banks to various liquidity and solvency shocks are modelled. The proposed framework is based on a risk-adjusted return portfolio choice in multiple periods subject to the default risk related either to liquidity or solvency problems. Performance of the model and sensitivity of optimal balance sheet structures to some key parameters of the model are illustrated in a specific calibrated setup. The results of the simulations shed light on the effectiveness of the liquidity and solvency regulation. The flexible implementation of the model and its semi-analytical solvability allows for various easy applications of the framework for the macro-prudential policy analysis.
Subjects: 
asset structure
banking
optimal portfolio
JEL: 
G11
G21
C61
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-2032-2
Document Type: 
Working Paper

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