Systemic capital requirements
In: Macroprudential regulation and policy
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- Webber, Lewis & Willison, Matthew, 2011. "Systemic capital requirements," Bank of England working papers 436, Bank of England.
References listed on IDEAS
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Citations
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Cited by:
- Löffler, Gunter & Raupach, Peter, 2013. "Robustness and informativeness of systemic risk measures," Discussion Papers 04/2013, Deutsche Bundesbank.
- Nikola Tarashev & Kostas Tsatsaronis & Claudio Borio, 2016. "Risk Attribution Using the Shapley Value: Methodology and Policy Applications," Review of Finance, European Finance Association, vol. 20(3), pages 1189-1213.
- Bardoscia, Marco & Barucca, Paolo & Brinley Codd, Adam & Hill, John, 2017. "The decline of solvency contagion risk," Bank of England working papers 662, Bank of England.
- Chatterjee, Somnath & Jobst, Andreas, 2019. "Market-implied systemic risk and shadow capital adequacy," Bank of England working papers 823, Bank of England.
- Adrian Alter & Ben R. Craig & Peter Raupach, 2015.
"Centrality-Based Capital Allocations,"
International Journal of Central Banking, International Journal of Central Banking, vol. 11(3), pages 329-377, June.
- Mr. Adrian Alter & Ben Craig & Peter Raupach, 2014. "Centrality-based Capital Allocations," IMF Working Papers 2014/237, International Monetary Fund.
- Adrian Alter & Ben R. Craig & Peter Raupach, 2015. "Centrality-based Capital Allocations," Working Papers (Old Series) 1501, Federal Reserve Bank of Cleveland.
- Alter, Adrian & Craig, Ben & Raupach, Peter, 2015. "Centrality-based capital allocations," Discussion Papers 03/2015, Deutsche Bundesbank.
- Alexander Lipton, 2016. "Modern Monetary Circuit Theory, Stability Of Interconnected Banking Network, And Balance Sheet Optimization For Individual Banks," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(06), pages 1-57, September.
- Andrey Itkin & Alexander Lipton, 2017.
"Structural default model with mutual obligations,"
Review of Derivatives Research, Springer, vol. 20(1), pages 15-46, April.
- Andrey Itkin & Alexander Lipton, 2015. "Structural default model with mutual obligations," Papers 1505.02039, arXiv.org.
- Doris Neuberger & Roger Rissi, 2014.
"Macroprudential Banking Regulation: Does One Size Fit All?,"
Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 1(1), pages 5-28.
- Neuberger, Doris & Rissi, Roger, 2012. "Macroprudential banking regulation: Does one size fit all?," Thuenen-Series of Applied Economic Theory 124, University of Rostock, Institute of Economics.
- Iori, G. & Gurgone, A., 2019. "A multi-agent methodology to assess the effectiveness of alternative systemic risk adjusted capital requirements," Working Papers 19/05, Department of Economics, City University London.
- Andrey Itkin & Alexander Lipton, 2014. "Efficient solution of structural default models with correlated jumps and mutual obligations," Papers 1408.6513, arXiv.org, revised Nov 2014.
- Jochen Schanz & David Aikman & Paul Collazos & Marc Farag & David Gregory & Sujit Kapadia, 2011. "The long-term economic impact of higher capital levels," BIS Papers chapters, in: Bank for International Settlements (ed.), Macroprudential regulation and policy, volume 60, pages 73-81, Bank for International Settlements.
- Mr. Dimitri G Demekas, 2015. "Designing Effective Macroprudential Stress Tests: Progress So Far and the Way Forward," IMF Working Papers 2015/146, International Monetary Fund.
- Huang, Qiubin & de Haan, Jakob & Scholtens, Bert, 2020. "Does bank capitalization matter for bank stock returns?," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
- Alexander Lipton, 2015. "Modern Monetary Circuit Theory, Stability of Interconnected Banking Network, and Balance Sheet Optimization for Individual Banks," Papers 1510.07608, arXiv.org.
- Garratt, Rodney & Webber, Lewis & Willison, Matthew, 2012. "Using Shapley’s asymmetric power index to measure banks’ contributions to systemic risk," Bank of England working papers 468, Bank of England.
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More about this item
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G01 - Financial Economics - - General - - - Financial Crises
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
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