| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP13734
|
| DP13734 Liquidation, bailout, and bail-in: Insolvency resolution mechanisms and bank lending. |
| Bart Lambrecht; Alex Tse
|
| 发表日期 | 2019-05-14
|
| 出版年 | 2019
|
| 语种 | 英语
|
| 摘要 | We present a dynamic, continuous-time model in which risk averse inside equityholders set a bank's lending, payout, and financing policies, and the exposure of bank assets to crashes. We study how the prevailing insolvency resolution mechanism affects these policies, the insolvency rate, loss in default, value at risk (VaR), and the net value created by the bank. VaR depends non-trivially on jump (crash) risk, diffusion risk and the horizon. We examine the commonplace assertion that bailouts encourage excessive lending and risk-taking compared to the liquidation and bail-in regimes, and explore whether bailouts could be financed by banks without taxpayers' money. |
| 主题 | Financial Economics
|
| 关键词 | Liquidation
Bailout
Bail-in
Asset sale
Agency
|
| URL | https://cepr.org/publications/dp13734
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542598
|
推荐引用方式
GB/T 7714 |
Bart Lambrecht,Alex Tse. DP13734 Liquidation, bailout, and bail-in: Insolvency resolution mechanisms and bank lending.. 2019.
|
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