Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/95977
Authors: 
Bluhm, Marcel
Krahnen, Jan Pieter
Year of Publication: 
2014
Series/Report no.: 
SAFE Working Paper Series 48
Abstract: 
We analyze the emergence of systemic risk in a network model of interconnected bank balance sheets. The model incorporates multiple sources of systemic risk, including size of financial institutions, direct exposure from interbank lendings, and asset fire sales. We suggest a new macroprudential risk management approach building on a system wide value at risk (SVaR). Under the SVaR metric, the contribution of individual banks to systemic risk is well defined and can be approximated by a Shapley value-type measure. We show that, in a SVaR regime, a fair systemic risk charge which is proportional to a bank's individual contribution to systemic risk diverges from the optimal macroprudential capitalization of the banks from a planner's perspective. The results have implications for the design of macroprudential capital surcharges.
Subjects: 
systemic risk
systemic risk charge
macroprudential supervision
Shapley value
financial network
JEL: 
C15
G01
G21
G28
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.