Abstrakt
This paper investigates systemic risks arising from regulatory cliff effects. Sudden discrete changes to asset properties, from regulatory cliff effects, cause financial agents to act simultaneously in a homogeneous way, exacerbating systemic risk. We develop a model which quantifies these effects, and find that under certain circumstances, even small changes have drastic consequences. Taking the model to the data, we find that current market measures imply that the circumstances are satisfied for the Danish financial system.
| Originalsprog | Engelsk |
|---|---|
| Publikationsdato | 2018 |
| Antal sider | 44 |
| Status | Udgivet - 2018 |
| Begivenhed | 2018 Financial Management Association European Conference - University of Agder, Kristiansand, Norge Varighed: 13 jun. 2018 → 15 jun. 2018 http://www.fmaconferences.org/Norway/NorwayProgram.htm |
Konference
| Konference | 2018 Financial Management Association European Conference |
|---|---|
| Lokation | University of Agder |
| Land/Område | Norge |
| By | Kristiansand |
| Periode | 13/06/2018 → 15/06/2018 |
| Internetadresse |
Emneord
- Banking
- Regulation
- Systemic risk
- Fire sales
- Covered bonds