scholarly journals Optimal Monitoring and Mitigation of Systemic Risk in Financial Networks

2014 ◽  
Author(s):  
Zhang Li ◽  
Xiaojun Lin ◽  
Borja Peleato-Inarrea ◽  
Ilya Pollak
Keyword(s):  
Systemic Risk ◽  
Financial Networks ◽  
Optimal Monitoring

scholarly journals DebtRank: Too Central to Fail? Financial Networks, the FED and Systemic Risk

2012 ◽  
Vol 2 (1) ◽  
Author(s):  
Stefano Battiston ◽  
Michelangelo Puliga ◽  
Rahul Kaushik ◽  
Paolo Tasca ◽  
Guido Caldarelli
Keyword(s):  
Systemic Risk ◽  
Financial Networks

scholarly journals GROWTH AND WELFARE EFFECTS OF MACROPRUDENTIAL REGULATION

2018 ◽  
Vol 23 (8) ◽  
pp. 3140-3162 ◽  
Author(s):  
Pierre-Richard Agénor
Keyword(s):  
Systemic Risk ◽  
Overlapping Generations ◽  
Welfare Effects ◽  
Financial Supervision ◽  
Overlapping Generations Model ◽  
Macroprudential Regulation ◽  
Bank Monitoring ◽  
Investment Projects ◽  
Optimal Monitoring ◽  
Reserve Ratio

This paper studies the growth and welfare effects of macroprudential regulation in an overlapping generations model of endogenous growth with banking and agency costs. Indivisible investment projects combine with informational imperfections to create a double moral hazard problem à la Holmström–Tirole and a role for bank monitoring. When the optimal monitoring intensity is endogenously determined, an increase in the required reserve ratio (motivated by systemic risk considerations) has conflicting effects on investment and growth. On one hand, requiring banks to put away a fraction of the deposits that they receive reduces the supply of loanable funds. On the other, a higher required ratio raises incentives to save and mitigates banks' incentives to monitor, thereby lowering monitoring costs and freeing up resources to increase lending. In addition, it may mitigate the systemic risk externality associated with excessive leverage. This trade-off can be internalized by choosing the required reserve ratio that maximizes growth and welfare. However, the risk of disintermediation means that in practice financial supervision may also need to be strengthened, and the perimeter of regulation broadened, if the optimal ratio is relatively high.

scholarly journals Systemic Risk and Stability in Financial Networks

2013 ◽  
Author(s):  
Daron Acemoglu ◽  
Asuman E. Ozdaglar ◽  
Alireza Tahbaz-Salehi
Keyword(s):  
Systemic Risk ◽  
Financial Networks

scholarly journals Systemic Risk and Stability in Financial Networks

2013 ◽  
Author(s):  
Daron Acemoglu ◽  
Asuman Ozdaglar ◽  
Alireza Tahbaz-Salehi
Keyword(s):  
Systemic Risk ◽  
Financial Networks

A Bayesian Methodology for Systemic Risk Assessment in Financial Networks

2017 ◽  
Vol 63 (12) ◽  
pp. 4428-4446 ◽  
Author(s):  
Axel Gandy ◽  
Luitgard A. M. Veraart
Keyword(s):  
Risk Assessment ◽  
Systemic Risk ◽  
Financial Networks ◽  
Bayesian Methodology

Process Systems Engineering as a Modeling Paradigm for Analyzing Systemic Risk in Financial Networks

2015 ◽  
Author(s):  
Richard Bookstaber ◽  
Paul Glasserman ◽  
Garud Iyengar ◽  
Yu Luo ◽  
Venkat Venkatasubramanian ◽  
...  
Keyword(s):  
Systems Engineering ◽  
Systemic Risk ◽  
Financial Networks ◽  
Process Systems Engineering ◽  
Process Systems ◽  
Modeling Paradigm
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