| 来源类型 | Article |
| 规范类型 | 其他 |
| DOI | 10.1016/j.jedc.2017.02.004 |
| Basel III capital surcharges for G-SIBs are far less effective in managing systemic risk in comparison to network-based, systemic risk-dependent financial transaction taxes. | |
| Poledna S; Bochmann O; Thurner S | |
| 发表日期 | 2017 |
| 出处 | Journal of Economic Dynamics and Control 77: 230-246 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | In addition to constraining bilateral exposures of financial institutions, there exist essentially two options for future financial regulation of systemic risk: First, regulation could attempt to reduce the financial fragility of global or domestic systemically important financial institutions (G-SIBs or D-SIBs), as for instance proposed by Basel III. Second, it could focus on strengthening the financial system as a whole by reducing the probability of large-scale cascading events. This can be achieved by re-shaping the topology of financial networks. We use an agent-based model of a financial system and the real economy to study and compare the consequences of these two options. By conducting three computer experiments with the agent-based model we find that re-shaping financial networks is more effective and efficient than reducing financial fragility. Capital surcharges for G-SIBs could reduce systemic risk, but they would have to be substantially larger than those specified in the current Basel III proposal in order to have a measurable impact. This would cause a loss of efficiency. |
| 主题 | Advanced Systems Analysis (ASA) |
| 关键词 | Basel III Systemic Risk Resilience Agent-Based Modelling Self-organisation Network Optimisation DebtRank Banking regulation Sustainability |
| URL | http://pure.iiasa.ac.at/id/eprint/14429/ |
| 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/130861 |
| 推荐引用方式 GB/T 7714 | Poledna S,Bochmann O,Thurner S. Basel III capital surcharges for G-SIBs are far less effective in managing systemic risk in comparison to network-based, systemic risk-dependent financial transaction taxes.. 2017. |
| 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 | ||
| Basel%20III%20capita（242KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
