| bibtype |
J -
Journal Article
|
| ARLID |
0433271 |
| utime |
20240103204825.7 |
| mtime |
20141106235959.9 |
| WOS |
000345115500003 |
| SCOPUS |
84909996700 |
| DOI |
10.1016/j.jfs.2014.03.001 |
| title
(primary) (eng) |
Collateral Composition, Diversification Risk, and Systemically Important Merchant Banks |
| specification |
| page_count |
12 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0310626 |
| ISSN |
1572-3089 |
| title
|
Journal of Financial Stability |
| volume_id |
14 |
| page_num |
23-34 |
| publisher |
|
|
| keyword |
collateral |
| keyword |
systemic risk |
| keyword |
merchant bank |
| keyword |
CoCo |
| author
(primary) |
| ARLID |
cav_un_auth*0101079 |
| name1 |
Derviz |
| name2 |
Alexis |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| garant |
A |
| share |
100 |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GA13-11983S |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0292672 |
|
| abstract
(eng) |
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. |
| reportyear |
2015 |
| RIV |
AH |
| num_of_auth |
1 |
| mrcbC52 |
4 A 4a 20231122140523.1 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0238368 |
| confidential |
S |
| mrcbT16-e |
BUSINESSFINANCE|ECONOMICS |
| mrcbT16-j |
0.902 |
| mrcbT16-s |
1.561 |
| mrcbT16-4 |
Q1 |
| mrcbT16-B |
60.306 |
| mrcbT16-C |
78.185 |
| mrcbT16-D |
Q2 |
| mrcbT16-E |
Q1* |
| arlyear |
2014 |
| mrcbTft |
\nSoubory v repozitáři: derviz-0433271.pdf |
| mrcbU14 |
84909996700 SCOPUS |
| mrcbU34 |
000345115500003 WOS |
| mrcbU63 |
cav_un_epca*0310626 Journal of Financial Stability 1572-3089 1878-0962 Roč. 14 Special Issue 2014 23 34 Elsevier |
|