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Centrality-based Capital Allocations
Adrian AlterBen CraigPeter Raupach
出版International Monetary Fund, 2014-12-24
主題Business & Economics / Banks & BankingBusiness & Economics / Industries / Financial ServicesBusiness & Economics / Money & Monetary Policy
ISBN14983155429781498315548
URLhttp://books.google.com.hk/books?id=YKgZEAAAQBAJ&hl=&source=gbs_api
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註釋We look at the effect of capital rules on a banking system that is connected through correlated credit exposures and interbank lending. The rules, which combine individual bank characteristics and interconnectivity measures of interbank lending, are to minimize a measure of system-wide losses. Using the detailed German Credit Register for estimation, we find capital rules based on eigenvectors to dominate any other centrality measure, followed by closeness. Compared to the baseline case, capital reallocation based on the Adjacency Eigenvector saves about 15% in system losses as measured by expected bankruptcy costs.