Optimal Bank Regulation In the Presence of Credit and Run Risk


Optimal Bank Regulation In the Presence of Credit and Run Risk. Expositor Dimitrios Tsomocos, Ph.D Professor of Financial Economics SAÏD Business School and St. Edmund Hall University of Oxford. Julio 13 de 2018.
El Banco de la República y la Maestría en Ciencias en Finanzas invitan al Seminario de Investigación en Finanzas. Julio 13 de 2018.
Idioma de la presentación: inglés.
Abstract
We modify the Diamond and Dybvig (1983) model of banking to jointly study various regulations in the presence of credit and run risk. Banks choose between liquid and illiquid assets on the asset side, and between deposits and equity on the liability side. The endogenously determined asset portfolio and capital structure interact to support credit extension, as well as to provide liquidity and risk-sharing services to the real economy. Our modifications create wedges in the asset and liability mix between the private equilibrium and a social planner’s equilibrium. Correcting these distortions requires the joint implementation of a capital and a liquidity regulation.
Kashyap, Anil K. and Tsomocos, Dimitrios P. and Vardoulakis, Alexandros, Optimal Bank Regulation in the Presence of Credit and Run Risk (September 2017). Saïd Business School WP 2017-17. Available at SSRN:
https://ssrn.com/abstract=3048376

Autor: envivo

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