Počet záznamů: 1

Collateral Composition, Diversification Risk, and Systemically Important Merchant Banks

SYSNO ASEP	0433271
Druh ASEP	J - Článek v odborném periodiku
Zařazení RIV	J - Článek v odborném periodiku
Poddruh J	Článek ve WOS
Název	Collateral Composition, Diversification Risk, and Systemically Important Merchant Banks
Tvůrce(i)	Derviz, Alexis (UTIA-B)_{RID, ORCID}
Celkový počet autorů	1
Zdroj.dok.	Journal of Financial Stability. - : Elsevier - ISSN 1572-3089 Roč. 14, Special Issue (2014), s. 23-34
Poč.str.	12 s.
Forma vydání	Tištěná - P
Jazyk dok.	eng - angličtina
Země vyd.	US - Spojené státy americké
Klíč. slova	collateral ; systemic risk ; merchant bank ; CoCo
Vědní obor RIV	AH - Ekonomie
CEP	GA13-11983S GA ČR - Grantová agentura ČR
Institucionální podpora	UTIA-B - RVO:67985556
UT WOS	000345115500003
EID SCOPUS	84909996700
DOI	10.1016/j.jfs.2014.03.001
Anotace	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.
Pracoviště	Ústav teorie informace a automatizace
Kontakt	Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
Rok sběru	2015

Počet záznamů: 1