Počet záznamů: 1  

Collateral Composition, Diversification Risk, and Systemically Important Merchant Banks

  1. 1. 0433271 - UTIA-B 2015 RIV US eng J - Článek v odborném periodiku
    Derviz, Alexis
    Collateral Composition, Diversification Risk, and Systemically Important Merchant Banks.
    Journal of Financial Stability. Roč. 14, Special Issue (2014), s. 23-34 ISSN 1572-3089
    Grant CEP: GA ČR GA13-11983S
    Institucionální podpora: RVO:67985556
    Klíčová slova: collateral * systemic risk * merchant bank * CoCo
    Kód oboru RIV: AH - Ekonomie
    Impakt faktor: 1.506, rok: 2014

    The impact of collateral diversification by non-financial firms on systemic risk is studied in a general equilibrium model with standard production functions and mixed debt-equity financing. Systemic risk comes about as soon as firms diversify their collateral by holding claims on a big wholesale (merchant) bank whose asset side includes claims on the same producer set. The merchant bank sector proves to be fragile (has a short distance to default) regardless of competition. In this setting, the policy response, consisting in official guarantees for the merchant bank’s liabilities, entails considerable government loss risk. An alternative without the need for public sector involvement is to encourage systemically important merchant banks to introduce a simple bail-in mechanism by restricting their liabilities to contingent convertible bonds.
    Trvalý link: http://hdl.handle.net/11104/0238368