| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16458 |
| DP16458 Counterparty Choice, Bank Interconnectedness, and Systemic Risk | |
| Andrew Ellul; Dasol Kim | |
| 发表日期 | 2021-08-16 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We provide evidence on how banks form network connections and endogenous risk-taking in their non-bank counterparty choices in the OTC derivative markets. We use confidential regulatory data from the Capital Assessment and Stress Testing reports that provide counterparty-level data across a wide range of OTC markets for the most systemically important U.S. banks. We show that banks are more likely to either establish or maintain a relationship, and increase their exposures within an existing relationship, with non-bank counterparties that are already heavily connected and exposed to other banks. Banks in such densely-connected networks are more likely to connect with riskier counterparties for their most material exposures. The effects are strongest in the case of (non-bank) financial counterparties. These findings suggest moral hazard behavior in counterparty choices. Finally, we demonstrate that these exposures are strongly linked to systemic risk. Overall, the results suggest a network formation process that amplifies risk propagation through non-bank linkages in opaque financial markets. |
| 主题 | Financial Economics |
| 关键词 | Counterparty risk Financial networks Bank interconnectedness Over-the-counter markets Derivatives |
| URL | https://cepr.org/publications/dp16458 |
| 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/545416 |
| 推荐引用方式 GB/T 7714 | Andrew Ellul,Dasol Kim. DP16458 Counterparty Choice, Bank Interconnectedness, and Systemic Risk. 2021. |
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