Systemic Risk and Regulation

By Franklin Allen, Douglas Gale. 2005

127 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/aba059ece611c6be70a31d73df6fdc475340bf5c

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Citations in the corpus

Mark-to-Market Accounting and Liquidity Pricing (2008, methodology): “To better understand the role of different accounting methods during crises, we present a model with a banking sector and an insurance sector based on Allen and Gale (2005a) and Allen and Carletti (2006).”
Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk Approach (2014, unknown): “Credit risk has furthermore shifted from commercial banks to insurance companies (Allen and Gale (2005)).”
On the International Transmission of Shocks : Micro-Evidence from Mutual Fund Portfolios (2012, unknown): “The dataset has actively and passively managed funds with different investment scopes: global, 9 See, for example, Broner et al. (2006), Gourinchas and Rey (2007a), Hau and Rey (2008), Krugman (2008), Devereux and Yetman (2010), and Gourinchas et al. (2010).”
Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012, background): “The most recent strand of research has focused on three types of propagation of financial distress: (a) self-fulfilling panic (bank runs) (Diamond and Dybvig, 1983); (b) depreciation of a common asset (asset price contagion) (Kiyotaki and Moore, 1997), (Kiyotaki and Moore, 2002); (c) interlocking cr”
Where the Risks Lie: A Survey on Systemic Risk (2017, unknown): “Allen and Gale (2004b) show that the fundamental market failure behind this effect is market incompleteness: if there are not enough contingent securities to efficiently allocate liquidity in each state, liquidity has to be found ex post by liquidating assets.”
Insider Trading in Credit Derivatives (2005, unknown): “See Allen and Gale (2005), who present a table decomposing the total buying and selling of credit derivatives among various institutional categories, such as banks, securities houses, hedge funds, corporates, insurance companies, mutual funds, pension funds, and government/export credit agencies (so”
Credit Risk Transfer and Contagion (2006, methodology): “This argument is developed in a model with a banking sector and an insurance sector based on Allen and Gale (2005a).”
Assessing the Contribution of Banks, Insurance and Other Financial Services to Systemic Risk (2014, unknown): “…literature has investigated extensively the transmission mechanisms of risks from one institution to another within the same sector (see, for instance, the literature on bank runs, Diamond and Dybvig, 1983, or the detailed discussion concerning the insurance industry in Allen and Gale, 2006).”