Macroprudential capital requirements and systemic risk
By C. Gauthier, Alfred Lehar, Moez Souissi. 2012
268 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/1c46332317b1f1fd60cd98dfcc88688063cb83fa
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Citations in the corpus
- What do we know about the effects of macroprudential policy (2018, unknown): “Using data on individual banks’ loan books, risk exposures, and on interbank linkages including OTC derivatives for the Canadian banking system, Gauthier et al. (2012) find that macroprudential capital allocation mechanisms reduce default probabilities of individual banks as well as the probability…”
- The Financial Crisis of 2007–2009: Why Did It Happen and What Did We Learn? (2015, unknown): “This is also consistent with Gauthier, Lehar, and Souissi (2012), who provide evidence that capital requirements based on banks’ contributions to the overall risk of the banking system can reduce the probability of failure of an individual bank and that of a systemic crisis by 25%.”
- Bubbles, Financial Crises, and Systemic Risk (2012, unknown): “For a more formal treatment, see Hart (1975), Stiglitz (1982), Geanakoplos and Polemarchakis (1986), and Gromb and Vayanos (2002).”
- On dependence consistency of CoVaR and some other systemic risk measures (2012, background): “In the case VaR vs. ES, this point has gained new interest from the regulators [7, 13].”
- Regulatory Capital Charges for Too-Connected-To-Fail Institutions: A Practical Proposal (2010, unknown): “See Tarashev, Borio, and Tsatsaronis (2009), and Gauthier, Lehar, and Souissi (2009) for details and further references.”
- Assessing the Contribution of Banks, Insurance and Other Financial Services to Systemic Risk (2014, unknown): “Scientific contributions in this vein include, among others, Elsinger et al. (2006), Aikman et al. (2009) and Gauthier et al. (2012), who rely on a network-based model for the Austrian, British and Canadian banking systems and interbank markets.”
- Fostering green investments and tackling climate-related financial risks: Which role for macroprudential policies? (2019, background): “Although the effectiveness of (standard) CAR was highly debated in academic literature (Gauthier et al., 2012; Gersbach and Rochet, 2017), its potential to affect the lending capacity of financial institutions is largely supported by evidence (Aiyar et al.”
- Measuring systemic risk in the European banking sector: a copula CoVaR approach (2017, background): “Gauthier et al. (2012) estimate systemic risk exposures for the Canadian banking system and set macro-prudential capital requirements equal to institution’s contribution to systemic risk using ∆CoVaR as a risk allocation mechanism.”
- Macroprudential Policy - A Literature Review (2012, unknown): “…banks’ loan books, risk exposures, and on interbank linkages including OTC derivatives for the Canadian banking system, as mentioned above, Gauthier et al. (2010) find that macroprudential capital allocation mechanisms reduce default probabilities of individual banks as well as the…”
- Systemic Risk and Bank Size (2018, unknown): “The actual market value of total assets of a financial firm Ai,t 1 Taking into account feedback loops, a network based structural model is also adopted by Gauthier et al. (2012) to examine the impact of macro-prudential capital requirements on systemic risk.”