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Citations for "A Theory of Systemic Risk and Design of Prudential Bank Regulation"

by Acharya, Viral V

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  1. Martin Brown & Stefan Trautmann & Razvan Vlahu, 2012. "Contagious Bank Runs: Experimental Evidence," DNB Working Papers 363, Netherlands Central Bank, Research Department.
  2. Alexis Derviz, 2013. "Collateral Composition, Diversification Risk, and Systemically Important Merchant Banks," Working Papers 2013/11, Czech National Bank, Research Department.
  3. Berger, Allen N. & Udell, Gregory F., 2004. "The institutional memory hypothesis and the procyclicality of bank lending behavior," Journal of Financial Intermediation, Elsevier, vol. 13(4), pages 458-495, October.
  4. Stefano Fenoaltea, 2010. "The reconstruction of historical national accounts: the case of Italy," PSL Quarterly Review, Economia civile, vol. 63(252), pages 77-96.
  5. De Jonghe, Olivier, 2010. "Back to the basics in banking? A micro-analysis of banking system stability," Journal of Financial Intermediation, Elsevier, vol. 19(3), pages 387-417, July.
  6. Co-Pierre Georg & Jenny Poschmann, 2010. "Systemic risk in a network model of interbank markets with central bank activity," Jena Economic Research Papers 2010-033, Friedrich-Schiller-University Jena, Max-Planck-Institute of Economics.
  7. Bluhm, Marcel & Krahnen, Jan Pieter, 2014. "Systemic risk in an interconnected banking system with endogenous asset markets," Journal of Financial Stability, Elsevier, vol. 13(C), pages 75-94.
  8. Finn Poschmann, 2014. "Shareholder Liability: A New (Old) Way of Thinking about Financial Regulation," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 401, February.
  9. Sofiane Aboura & Emmanuel Lépinette, 2013. "An Alternative Model to Basel Regulation," Working Papers hal-00825018, HAL.
  10. Paolo Tasca & Stefano Battiston, . "Diversification and Financial Stability," Working Papers CCSS-11-001, ETH Zurich, Chair of Systems Design.
  11. repec:dgr:uvatin:2011019 is not listed on IDEAS
  12. Anginer, Deniz & Demirguc-Kunt, Asli, 2011. "Has the global banking system become more fragile over time ?," Policy Research Working Paper Series 5849, The World Bank.
  13. Memmel, Christoph & Sachs, Angelika, 2011. "Contagion in the interbank market and its determinants," Discussion Paper Series 2: Banking and Financial Studies 2011,17, Deutsche Bundesbank, Research Centre.
  14. López-Espinosa, Germán & Rubia, Antonio & Valderrama, Laura & Antón, Miguel, 2013. "Good for one, bad for all: Determinants of individual versus systemic risk," Journal of Financial Stability, Elsevier, vol. 9(3), pages 287-299.
  15. Xin Huang & Hao Zhou & Haibin Zhu, 2011. "Systemic risk contributions," BIS Papers chapters, in: Bank for International Settlements (ed.), Macroprudential regulation and policy, volume 60, pages 36-43 Bank for International Settlements.
  16. Duca, John V., 2010. "Did the Commercial Paper Funding Facility Prevent a Great Depression Style Money Market Meltdown?," MPRA Paper 29255, University Library of Munich, Germany, revised 22 Feb 2011.
  17. repec:hal:psewpa:hal-00719952 is not listed on IDEAS
  18. Ignatowski, Magdalena & Korte, Josef, 2014. "Wishful thinking or effective threat? tightening bank resolution regimes and bank risk-taking," Working Paper Series 1659, European Central Bank.
  19. Anginer, Deniz & Demirguc-Kunt, Asli & Zhu, Min, 2012. "How does deposit insurance affect bank risk ? evidence from the recent crisis," Policy Research Working Paper Series 6289, The World Bank.
  20. Christian Weistroffer, 2011. "Identifying Systemically Important Financial Institutions (SIFIs)," Working Papers id:4383, eSocialSciences.
  21. Acharya, Viral V & Yorulmazer, Tanju, 2005. "Cash-in-the-Market Pricing and Optimal Bank Bailout Policy," CEPR Discussion Papers 5154, C.E.P.R. Discussion Papers.
  22. Giovanni Dell'Ariccia & Lev Ratnovski, 2013. "Bailouts and Systemic Insurance," IMF Working Papers 13/233, International Monetary Fund.
  23. Binici, Mahir & Köksal, Bülent & Orman, Cüneyt, 2012. "Stock return comovement and systemic risk in the Turkish banking system," MPRA Paper 38663, University Library of Munich, Germany.
  24. Wilmar Alexander Cabrera Rodríguez & Luis Fernando Melo Velandia & Daniel Parra Amado, 2014. "Relación entre el riesgo sistémico del sistema financiero y el sector real: un enfoque FAVAR," Borradores de Economia 810, Banco de la Republica de Colombia.
  25. Tomas Fiala & Tomas Havranek, 2014. "Ailing Mothers, Healthy Daughters? Contagion in the Central European Banking Sector," Working Papers IES 2014/10, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2014.
  26. John V. Duca & John Muellbauer & Anthony Murphy, 2010. "Housing Markets and the Financial Crisis of 2007-2009: Lessons for the Future," SERC Discussion Papers 0049, Spatial Economics Research Centre, LSE.
  27. Goodhart, Charles, 2011. "¿Es un sistema financiero menos procíclico una meta alcanzable?," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 21, pages 9-22.
  28. Acharya, Viral V & Hasan, Iftekhar & Saunders, Anthony, 2002. "The Effects of Focus and Diversification on Bank Risk and Return: Evidence from Individual Bank Loan Portfolios," CEPR Discussion Papers 3252, C.E.P.R. Discussion Papers.
  29. Swati R Ghosh, 2010. "Dealing with the Challenges of Capital Inflows in the Context of Macrofinancial Links," World Bank Other Operational Studies 10177, The World Bank.
  30. Perotti, Enrico C & Ratnovski, Lev & Vlahu, Razvan, 2011. "Capital Regulation and Tail Risk," CEPR Discussion Papers 8526, C.E.P.R. Discussion Papers.
  31. Chaigneau, Pierre, 2013. "Risk-shifting and the regulation of bank CEOs’ compensation," Journal of Financial Stability, Elsevier, vol. 9(4), pages 778-789.
  32. Sigbjørn Atle Berg, 2011. "Systemic surcharges and measures of systemic importance," Journal of Financial Regulation and Compliance, Emerald Group Publishing, vol. 19(4), pages 383-395, November.
  33. Lacina Diarra, 2013. "Analyse de l'impact de la régulation sur la prise de risque par les banques," Post-Print dumas-00879876, HAL.
  34. Viral Acharya & Tanju Yorulmazer, 2007. "Cash-in-the-market pricing and optimal resolution of bank failures," Bank of England working papers 328, Bank of England.
  35. Anginer, Deniz & Demirguc-Kunt, Asli & Zhu, Min, 2014. "How does deposit insurance affect bank risk? Evidence from the recent crisis," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 312-321.
  36. Stefano Battiston & Domenico Delli Gatti & Mauro Gallegati & Bruce Greenwald & Joseph E. Stiglitz, . "Default Cascades: When Does Risk Diversification Increase Stability?," Working Papers ETH-RC-11-006, ETH Zurich, Chair of Systems Design.
  37. Degryse, Hans & Elahi, Muhammad Ather & Penas, María Fabiana, 2013. "Determinants of banking system fragility: a regional perspective," Working Paper Series 1567, European Central Bank.
  38. Elahi, M.A., 2011. "Essays on financial fragility," Other publications TiSEM 882f55bb-10dc-4e49-95ef-e, School of Economics and Management.
  39. Zaghini, Andrea, 2014. "Bank bonds: Size, systemic relevance and the sovereign," CFS Working Paper Series 454, Center for Financial Studies (CFS).
  40. Girardi, Giulio & Tolga Ergün, A., 2013. "Systemic risk measurement: Multivariate GARCH estimation of CoVaR," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3169-3180.
  41. Jones, Jeffrey S. & Lee, Wayne Y. & Yeager, Timothy J., 2013. "Valuation and systemic risk consequences of bank opacity," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 693-706.
  42. Sudipto Bhattacharya & Charles A. E. Goodhart & Pojanart Sunirand & Dimitrios P. Tsomocos, 2006. "Banks, Relative Performance, and Sequential Contagion," OFRC Working Papers Series 2006fe10, Oxford Financial Research Centre.
  43. Tasca, Paolo & Battiston, Stefano, 2013. "Market Procyclicality and Systemic Risk," MPRA Paper 45156, University Library of Munich, Germany, revised Mar 2013.
  44. Martin Summer, 2003. "Banking Regulation and Systemic Risk," Open Economies Review, Springer, vol. 14(1), pages 43-70, January.
  45. Acharya, Viral V & Yorulmazer, Tanju, 2003. "Information Contagion and Inter-Bank Correlation in a Theory of Systemic Risk," CEPR Discussion Papers 3743, C.E.P.R. Discussion Papers.
  46. Ibragimov, Rustam & Jaffee, Dwight & Walden, Johan, 2011. "Diversification disasters," Journal of Financial Economics, Elsevier, vol. 99(2), pages 333-348, February.
  47. Brown, Martin & Trautmann, Stefan T. & Vlahu, Razvan, 2014. "Understanding bank-run contagion," Working Paper Series 1711, European Central Bank.
  48. Jorge M. Uribe & Julián Fernández, 2014. "Riesgo sistémico en el mercado de acciones colombiano: alternativas de diversificación bajo eventos extremos," REVISTA CUADERNOS DE ECONOMÍA, UN - RCE - CID.
  49. Chira, Inga & Madura, Jeff & Viale, Ariel M., 2013. "Bank exposure to market fear," Journal of Financial Stability, Elsevier, vol. 9(4), pages 451-459.
  50. Riccetti, Luca & Russo, Alberto & Gallegati, Mauro, 2013. "Leveraged network-based financial accelerator," Journal of Economic Dynamics and Control, Elsevier, vol. 37(8), pages 1626-1640.
  51. Jokipii, Terhi & Milne, Alistair, 2011. "Bank capital buffer and risk adjustment decisions," Journal of Financial Stability, Elsevier, vol. 7(3), pages 165-178, August.
  52. Markus Behn & Rainer Haselmann & Paul Wachtel, 2013. "Pro-Cyclical Capital Regulation and Lending," Working Papers 13-11, New York University, Leonard N. Stern School of Business, Department of Economics.
  53. Kyle Moore & Chen Zhou, 2014. "The determinants of systemic importance," LSE Research Online Documents on Economics 59289, London School of Economics and Political Science, LSE Library.
  54. repec:dgr:uvatin:2011039 is not listed on IDEAS
  55. Tarik Roukny, Co-Pierre Georg and Stefano Battiston, 2014. "A Network Analysis of the Evolution of the German Interbank Market," Working Papers 461, Economic Research Southern Africa.
  56. Meyer, Margaret & Strulovici, Bruno, 2012. "Increasing interdependence of multivariate distributions," Journal of Economic Theory, Elsevier, vol. 147(4), pages 1460-1489.
  57. Merwan Engineer & Paul Schure & Mark Gillis, 2012. "A Positive Analysis of Deposit Insurance Provision: Regulatory Competition Among European Union Countries," Working Paper Series 29_12, The Rimini Centre for Economic Analysis.
  58. Maarten van Oordt & Chen Zhou, 2014. "Systemic risk and bank business models," DNB Working Papers 442, Netherlands Central Bank, Research Department.
  59. Jin Cao & Gerhard Illing, 2010. "Regulation of systemic liquidity risk," Financial Markets and Portfolio Management, Springer, vol. 24(1), pages 31-48, March.
  60. Markus K. Brunnermeier & Martin Oehmke, 2012. "Bubbles, Financial Crises, and Systemic Risk," NBER Working Papers 18398, National Bureau of Economic Research, Inc.
  61. De Jonghe, O.G., 2009. "Back to Basics in Banking? A Micro-Analysis of Banking System Stability," Discussion Paper 2009-45 S, Tilburg University, Center for Economic Research.
  62. Barnhill, Theodore M. & Souto, Marcos Rietti, 2008. "Systemic bank risk in Brazil: an assessment of correlated market, credit, sovereign and inter-bank risk in an environment with stochastic volatilities and correlations," Discussion Paper Series 2: Banking and Financial Studies 2008,13, Deutsche Bundesbank, Research Centre.
  63. VanHoose, David, 2011. "Systemic Risk and Macroprudential Bank Regulation: A Critical Appraisal," Journal of Financial Transformation, Capco Institute, vol. 33, pages 45-60.
  64. Kyle Moore & Chen Zhou, 2012. "Identifying systemically important financial institutions: size and other determinants," DNB Working Papers 347, Netherlands Central Bank, Research Department.
  65. Luigi Iovino, 2012. "Sophisticated Intermediation and Aggregate Volatility," 2012 Meeting Papers 965, Society for Economic Dynamics.
  66. Wilson, Linus & Wu, Yan Wendy, 2012. "Escaping TARP," Journal of Financial Stability, Elsevier, vol. 8(1), pages 32-42.
  67. Lu, Jing & Hu, Xiaohong, 2014. "Novel three-bank model for measuring the systemic importance of commercial banks," Economic Modelling, Elsevier, vol. 43(C), pages 238-246.
  68. Wolski, M., 2013. "Exploring Nonlinearities in Financial Systemic Risk," CeNDEF Working Papers 13-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  69. Morrison, Alan D. & White, Lucy, 2013. "Reputational contagion and optimal regulatory forbearance," Journal of Financial Economics, Elsevier, vol. 110(3), pages 642-658.
  70. Maarten van Oordt, 2012. "Securitization and the dark side of diversification," DNB Working Papers 341, Netherlands Central Bank, Research Department.
  71. Vallascas, Francesco & Keasey, Kevin, 2012. "Bank resilience to systemic shocks and the stability of banking systems: Small is beautiful," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1745-1776.
  72. Paolo Tasca, . "Overlapping Correlation Coefficient," Working Papers ETH-RC-13-004, ETH Zurich, Chair of Systems Design.
  73. Diego Avanzini & Alejandro Jara, 2013. "A PCA Approach to Common Risk Exposures in the Chilean Banking System," Working Papers Central Bank of Chile 707, Central Bank of Chile.
  74. Korte, Josef, 2013. "Catharsis - The real effects of bank insolvency and resolution," Discussion Papers 21/2013, Deutsche Bundesbank, Research Centre.
  75. Challe, Edouard & Mojon, Benoit & Ragot, Xavier, 2013. "Equilibrium risk shifting and interest rate in an opaque financial system," European Economic Review, Elsevier, vol. 63(C), pages 117-133.
  76. Mälkönen, Ville & Niinimäki, J.-P., 2012. "Blanket guarantee, deposit insurance and restructuring decisions for multinational banks," Journal of Financial Stability, Elsevier, vol. 8(2), pages 84-95.
  77. Yaron Leitner, 2004. "Financial networks: contagion, commitment, and private sector bailouts," Working Papers 02-9, Federal Reserve Bank of Philadelphia.
  78. Behn, Markus & Haselmann, Rainer & Wachtel, Paul, 2014. "Pro-cyclical capital regulation and lending," Discussion Papers 32/2014, Deutsche Bundesbank, Research Centre.
  79. Albert Banal-Estañol & Marco Ottaviani & Andrew Winton, 2013. "The Flip Side of Financial Synergies:Coinsurance versus Risk Contamination," Working Papers 475, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  80. Diana Bonfim & Moshe Kim, 2012. "Liquidity risk in banking: is there herding?," Working Papers w201218, Banco de Portugal, Economics and Research Department.
  81. Lamont Black & Ricardo Correa & Xin Huang & Hao Zhou, 2013. "The systemic risk of European banks during the financial and sovereign debt crises," International Finance Discussion Papers 1083, Board of Governors of the Federal Reserve System (U.S.).
  82. Abreu, José Filipe & Gulamhussen, Mohamed Azzim, 2013. "The stock market reaction to the public announcement of a supranational list of too-big-to-fail banks during the financial crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 49-72.
  83. Chakraborty, Suparna & Allen, Linda, 2007. "Revisiting the Level Playing Field: International Lending Responses to Divergences in Japanese Bank Capital Regulations from the Basel Accord," MPRA Paper 1805, University Library of Munich, Germany.
  84. Cao, Jin, 2010. "Illiquidity, insolvency, and banking regulation," Discussion Papers in Economics 11370, University of Munich, Department of Economics.
  85. Dragos Gabriel Turliuc & Andreea Nicoleta Popovici, 2014. "Macroprudential Instruments Used By Eastern European Countries," CES Working Papers, Centre for European Studies, Alexandru Ioan Cuza University, vol. 6, pages 201-209, March.
  86. Agur, Itai, 2014. "Bank risk within and across equilibria," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 322-333.
  87. Rainer Masera, 2010. "Reforming financial systems after the crisis: a comparison of EU and USA," PSL Quarterly Review, Economia civile, vol. 63(255), pages 299-362.
  88. Zevallos, Mauricio & Villarreal, Fernanda & Del Carpio, Carlos & Abbara, Omar, 2014. "Influencia de los precios de los metales y el mercado internacional en el riesgo bursátil peruano," Working Papers 2014-023, Banco Central de Reserva del Perú.
  89. Kai Du, 2014. "Efficiency Gains from Removing Trade Barriers: Evidence from Asian Banking Industries," School of Economics Working Papers 2014-04, University of Adelaide, School of Economics.
  90. Mauricio Arias & Juan Carlos Mendoza & David Pérez-Reyna, . "Applying CoV aR to Measure Systemic Market Risk: the Colombian Case," Temas de Estabilidad Financiera 047, Banco de la Republica de Colombia.
  91. Claudio Borio, 2011. "Rediscovering the Macroeconomic Roots of Financial Stability Policy: Journey, Challenges, and a Way Forward," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 87-117, December.
  92. Xin Huang & Hao Zhou & Haibin Zhu, 2009. "Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis," Finance and Economics Discussion Series 2009-44, Board of Governors of the Federal Reserve System (U.S.).
  93. Anginer, Deniz & Demirguc-Kunt, Asli & Zhu, Min, 2014. "How does competition affect bank systemic risk?," Journal of Financial Intermediation, Elsevier, vol. 23(1), pages 1-26.
  94. Changjun Zheng & Tinghua Xu & Wanxia Liang, 2012. "The empirical research of banks' capital buffer and risk adjustment decision making: Evidence from China's banks," China Finance Review International, Emerald Group Publishing, vol. 2(2), pages 163-179, April.
  95. Schoenmaker, Dirk & Siegmann, Arjen, 2014. "Can European bank bailouts work?," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 334-349.
  96. Avgouleas, Emilios & Goodhart, Charles & Schoenmaker, Dirk, 2013. "Bank Resolution Plans as a catalyst for global financial reform," Journal of Financial Stability, Elsevier, vol. 9(2), pages 210-218.
  97. Arthur Petit-Romec, 2011. "L'intérêt d'un renforcement des fonds propres bancaires (et de mesures complémentaires) pour concilier stabilité financière, performance et bon fonctionnement des banques," Post-Print dumas-00643745, HAL.
  98. Marinč, Matej & Rant, Vasja, 2014. "A cross-country analysis of bank bankruptcy regimes," Journal of Financial Stability, Elsevier, vol. 13(C), pages 134-150.
  99. Markus K. Brunnermeier & Thomas M. Eisenbach & Yuliy Sannikov, 2012. "Macroeconomics with Financial Frictions: A Survey," NBER Working Papers 18102, National Bureau of Economic Research, Inc.
  100. Gola Carlo & Ilari Antonio, 2013. "Financial innovation oversight: a policy framework," Questioni di Economia e Finanza (Occasional Papers) 200, Bank of Italy, Economic Research and International Relations Area.
  101. Bosma, Jakob & Koetter, Michael & Wedow, Michael, 2012. "Credit risk connectivity in the financial industry and stabilization effects of government bailouts," Discussion Papers 16/2012, Deutsche Bundesbank, Research Centre.
  102. Hilmer, Michael, 2014. "Too many to fail - How bonus taxation prevents gambling for bailouts," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100552, Verein für Socialpolitik / German Economic Association.
  103. Patro, Dilip K. & Qi, Min & Sun, Xian, 2013. "A simple indicator of systemic risk," Journal of Financial Stability, Elsevier, vol. 9(1), pages 105-116.
  104. Hege, Ulrich & Feess, Eberhard, 2007. "Basel II and the Value of Bank Differentiation," Les Cahiers de Recherche 879, HEC Paris.
  105. repec:dgr:kubcen:200945s is not listed on IDEAS
  106. Allen, Franklin & Carletti, Elena, 2013. "New theories to underpin financial reform," Journal of Financial Stability, Elsevier, vol. 9(2), pages 242-249.
  107. Shirley HO, 2004. "Evolutionary Forces in a Banking System with Speculation and System Risk," Econometric Society 2004 Far Eastern Meetings 692, Econometric Society.
  108. repec:dgr:kubcen:200671 is not listed on IDEAS
  109. Rainer Masera, 2011. "Taking the moral hazard out of banking: the next fundamental step in financial reform," PSL Quarterly Review, Economia civile, vol. 64(257), pages 105-142.
  110. Demirguc-Kunt, Asli & Detragiache, Enrica, 2009. "Basel core principles and bank soundness : does compliance matter ?," Policy Research Working Paper Series 5129, The World Bank.
  111. Carlos Pérez Montes, 2013. "Estimation of Regulatory Credit Risk Models," Banco de Espa�a Working Papers 1305, Banco de Espa�a.
  112. Baldursson, Fridrik Mar & Portes, Richard, 2013. "Gambling for resurrection in Iceland: the rise and fall of the banks," CEPR Discussion Papers 9664, C.E.P.R. Discussion Papers.
  113. Schoenmaker, Dirk, 2011. "The financial trilemma," Economics Letters, Elsevier, vol. 111(1), pages 57-59, April.
  114. repec:dgr:kubcen:2012015 is not listed on IDEAS
  115. Gong, D., 2014. "Bank Systemic Risk-Taking and Loan Pricing : Evidence from Syndicated Loans," Discussion Paper 2014, Tilburg University, Center for Economic Research.
  116. Clancy, Daragh & Merola, Rossana, 2014. "The effect of macroprudential policy on endogenous credit cycles," Research Technical Papers 15/RT/14, Central Bank of Ireland.
  117. Kara, Gazi, 2013. "Systemic Risk, International Regulation, and the Limits of Coordination," Finance and Economics Discussion Series 2013-87, Board of Governors of the Federal Reserve System (U.S.).
  118. Zhou, Chen, 2013. "The impact of imposing capital requirements on systemic risk," Journal of Financial Stability, Elsevier, vol. 9(3), pages 320-329.
  119. repec:dgr:uvatin:20110039 is not listed on IDEAS
  120. Sangwon Suh & Inwon Jang & Misun Ahn, 2013. "A Simple Method For Measuring Systemic Risk Using Credit Default Swap Market Data," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 38(4), pages 75-100, December.
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