دانلود مقاله ISI انگلیسی شماره 80364
ترجمه فارسی عنوان مقاله

مدیریت ریسک سیستماتیک در هلند

عنوان انگلیسی
Managing systemic risk in The Netherlands ☆
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
80364 2015 15 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : International Review of Economics & Finance, Volume 40, November 2015, Pages 231–245

ترجمه کلمات کلیدی
ریسک سیستماتیک؛ مقررات بانکی احتیاطی کلان؛ ثبات اقتصادی
کلمات کلیدی انگلیسی
Systemic risk; Macroprudential banking regulation; Financial stability
پیش نمایش مقاله
پیش نمایش مقاله  مدیریت ریسک سیستماتیک در هلند

چکیده انگلیسی

The paper investigates the effects on systemic risk of macroprudential capital requirements, which require banks to hold capital that is proportional to their contribution to systemic risk. We use a panel of correlated Merton balance sheet models combined with a network clearing algorithm, to measure systemic risk and how it changes with bank capital. The model explicitly incorporates the possibility of default through common exposures to macroeconomic factors and interbank linkages. We use five risk allocation mechanisms to allocate systemic risk to individual banks. Using a sample of Dutch banks, we find that macroprudential capital requirements deviate from the current observed capital levels by as much as 40% and they are positively related to bank size and interbank exposure. Furthermore, macroprudential capital requirements can reduce individual and multiple banks default probabilities by up to 26%. The results suggest that financial stability can be substantially improved by implementing macroprudential regulations for the banking system.