Centrality-based capital allocations /

Centrality-based capital allocations /

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Bibliographic Details
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:	Banks and banking -- Econometric models. Capital movements -- Econometric models. Financial risk management -- Econometric models. Banks and banking -- Econometric models. Capital movements -- Econometric models. Electronic books.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12504208

Hidden Bibliographic Details
Other authors / contributors:	Craig, Ben R., author. Raupach, Peter, author. International Monetary Fund. African Department, issuing body.
Notes:	"December 2014." "African Department." Includes bibliographical references (pages 38-40). Online resource; title from pdf title page (IMF.org Web site, viewed January 5, 2015).
Summary:	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.

Table of Contents:

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.