0433271 20240103204825.720141106235959.9 000345115500003 84909996700 10.1016/j.jfs.2014.03.001 12 s. P cav_un_epca*03106261572-30891423-34Elsevier collateral systemic risk merchant bank CoCo cav_un_auth*0101079 Derviz Alexis Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics A 100 Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2014/E/derviz-0433271.pdf GA13-11983S GA ČR cav_un_auth*0292672 The impact of collateral diversification by non-financial firms on systemic risk is studied in a general equilibrium model with standard production functions and mixed debt-equity financing. Systemic risk comes about as soon as firms diversify their collateral by holding claims on a big wholesale (merchant) bank whose asset side includes claims on the same producer set. The merchant bank sector proves to be fragile (has a short distance to default) regardless of competition. In this setting, the policy response, consisting in official guarantees for the merchant bank’s liabilities, entails considerable government loss risk. An alternative without the need for public sector involvement is to encourage systemically important merchant banks to introduce a simple bail-in mechanism by restricting their liabilities to contingent convertible bonds. 2015 AH 1 4 A 4a 20231122140523.1 RVO:67985556 http://hdl.handle.net/11104/0238368 S BUSINESSFINANCE|ECONOMICS 0.902 1.561 Q1 60.306 78.185 Q2 Q1* 2014 Soubory v repozitáři: derviz-0433271.pdf 84909996700 SCOPUS 000345115500003 WOS cav_un_epca*0310626 Journal of Financial Stability 1572-3089 1878-0962 Roč. 14 Special Issue 2014 23 34 Elsevier