| 来源类型 | Article |
| 规范类型 | 其他 |
| DOI | 10.1016/j.jbankfin.2014.01.038 |
| Leverage-induced systemic risk under Basle II and other credit risk policies. | |
| Poledna S; Thurner S; Farmer JD; Geanakoplos J | |
| 发表日期 | 2014 |
| 出处 | Journal of Banking & Finance 42 (1): 199-212 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | We use a simple agent based model of value investors in financial markets to test three credit regulation policies. The first is the unregulated case, which only imposes limits on maximum leverage. The second is Basle II and the third is a hypothetical alternative in which banks perfectly hedge all of their leverage-induced risk with options. When compared to the unregulated case both Basle II and the perfect hedge policy reduce the risk of default when leverage is low but increase it when leverage is high. This is because both regulation policies increase the amount of synchronized buying and selling needed to achieve deleveraging, which can destabilize the market. None of these policies are optimal for everyone: Risk neutral investors prefer the unregulated case with low maximum leverage, banks prefer the perfect hedge policy, and fund managers prefer the unregulated case with high maximum leverage. No one prefers Basle II. |
| 主题 | Advanced Systems Analysis (ASA) |
| 关键词 | Leverage Basle II Systemic risk Credit risk Agent based model Banking regulation |
| URL | http://pure.iiasa.ac.at/id/eprint/10986/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/129919 |
| 推荐引用方式 GB/T 7714 | Poledna S,Thurner S,Farmer JD,et al. Leverage-induced systemic risk under Basle II and other credit risk policies.. 2014. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| leverage-induced.pdf（1268KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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