Macroprudential capital requirements and systemic risk

Simple item page
dc.contributor.authorLehar, Alfredeng
dc.contributor.authorGauthier, Celineeng
dc.contributor.authorSouissi, Moezeng
dc.date.accessioned2010-06-17T18:00:56Z
dc.date.available2010-06-17T18:00:56Z
dc.date.issued2010
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 macroprudential capital allocations can differ by as much as 50% from observed capital levels and are not trivially related to bank size or individual bank default probability. Macroprudential 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.eng
dc.description.refereedNoeng
dc.identifier.citationC. Gauthier, A. Lehar, and M. Souissi, “Macroprudential Capital Requirements and Systemic Risk,” working paper, Ottawa, Bank of Canada, 2009
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/28782
dc.identifier.urihttp://hdl.handle.net/1880/47851
dc.language.isoengeng
dc.publisher.corporateUniversity of Calgaryeng
dc.publisher.facultyHaskayne School of Businesseng
dc.subjectRisk Managementeng
dc.subject.otherSystemic Riskeng
dc.subject.otherFinancial Stabilityeng
dc.subject.otherBank regulationeng
dc.subject.otherInterbank Marketeng
dc.titleMacroprudential capital requirements and systemic riskeng
dc.typePresentationeng
thesis.degree.disciplineFinanceeng
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
Lehar_bocpaper15academic_2010.pdf
Size:
325.72 KB
Format:
Adobe Portable Document Format
Description:
Download
License bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
license.txt
Size:
1.87 KB
Format:
Item-specific license agreed upon to submission
Description:
Download
Collections
Haskayne School of Business Research & Publications