Centrality-based capital allocations /
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| Author / Creator: | Alter, Adrian, author. |
|---|---|
| Imprint: | [Washington, D.C.] : International Monetary Fund, ©2014. |
| Description: | 1 online resource (40 pages) : illustrations |
| Language: | English |
| Series: | IMF working paper ; WP/14/237 IMF working paper ; WP/14/237. |
| Subject: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/12504208 |
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| 049 | |a MAIN | ||
| 050 | 4 | |a HG3881.5.I58 |b W67 No. 14/237eb | |
| 100 | 1 | |a Alter, Adrian, |e author. |0 http://id.loc.gov/authorities/names/no2015000690 | |
| 245 | 1 | 0 | |a Centrality-based capital allocations / |c prepared by Adrian Alter, Ben Craig, and Peter Raupach. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c ©2014. | ||
| 300 | |a 1 online resource (40 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF working paper ; |v WP/14/237 | |
| 500 | |a "December 2014." | ||
| 500 | |a "African Department." | ||
| 504 | |a Includes bibliographical references (pages 38-40). | ||
| 520 | |a We look at the effect of capital rules on a banking system that is connected through correlated credit exposures and interbank lending. The rules, which combine individual bank characteristics and interconnectivity measures of interbank lending, are to minimize a measure of system-wide losses. Using the detailed German Credit Register for estimation, we find capital rules based on eigenvectors to dominate any other centrality measure, followed by closeness. Compared to the baseline case, capital reallocation based on the Adjacency Eigenvector saves about 15% in system losses as measured by expected bankruptcy costs. --Abstract. | ||
| 588 | 0 | |a Online resource; title from pdf title page (IMF.org Web site, viewed January 5, 2015). | |
| 505 | 0 | |a Cover; Contents; I. Introduction; II. Methodology; A. Credit risk model; A.1. Large loans; A.2. Small loans; B. Centrality measures; III. Data sources; A. Large-Exposures Database (LED); B. Borrower and balance sheet statistics; C. Market data; D. The German interbank market; IV. Modeling contagion; A. Bankruptcy costs; V. Optimization; VI. Results; VII. Conclusion. | |
| 650 | 0 | |a Banks and banking |x Econometric models. | |
| 650 | 0 | |a Capital movements |x Econometric models. | |
| 650 | 0 | |a Financial risk management |x Econometric models. | |
| 650 | 6 | |a Mouvements de capitaux |x Modèles économétriques. | |
| 650 | 6 | |a Finances |x Gestion du risque |x Modèles économétriques. | |
| 650 | 7 | |a Banks and banking |x Econometric models. |2 fast |0 (OCoLC)fst00826918 | |
| 650 | 7 | |a Capital movements |x Econometric models. |2 fast |0 (OCoLC)fst00846376 | |
| 655 | 0 | |a Electronic books. | |
| 655 | 4 | |a Electronic books. | |
| 700 | 1 | |a Craig, Ben R., |e author. |0 http://id.loc.gov/authorities/names/n2006060608 | |
| 700 | 1 | |a Raupach, Peter, |e author. |0 http://id.loc.gov/authorities/names/no2015000707 | |
| 710 | 2 | |a International Monetary Fund. |b African Department, |e issuing body. |0 http://id.loc.gov/authorities/names/no93028933 | |
| 830 | 0 | |a IMF working paper ; |v WP/14/237. |0 http://id.loc.gov/authorities/names/no89010263 | |
| 856 | 4 | 0 | |u http://elibrary.imf.org/view/journals/001/2014/237/001.2014.issue-237-en.xml |y INTERNATIONAL MONETARY FUND |
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| 928 | |t Library of Congress classification |a HG3881.5.I58W67 No. 14/237eb |l Online |c UC-FullText |u http://elibrary.imf.org/view/journals/001/2014/237/001.2014.issue-237-en.xml |z INTERNATIONAL MONETARY FUND |g ebooks |i 12148524 | ||