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Understanding systemic risk : the trade-offs between capital, short-term funding and liquid asset holdings

Author: Céline Gauthier; Zhongfang He; Moez Souissi; Bank of Canada.
Publisher: Ottawa : Bank of Canada, 2010.
Series: Working paper (Bank of Canada : Online), 2010-29.
Edition/Format:   eBook : Document : National government publication : EnglishView all editions and formats
Database:WorldCat
Summary:
"We offer a multi-period systemic risk assessment framework with which to assess recent liquidity and capital regulatory requirement proposals in a holistic way. Following Morris and Shin (2009), we introduce funding liquidity risk as an endogenous outcome of the interaction between market liquidity risk, solvency risk, and the funding structure of banks. To assess the overall impact of different mix of capital and  Read more...
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Details

Material Type: Document, Government publication, National government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Céline Gauthier; Zhongfang He; Moez Souissi; Bank of Canada.
OCLC Number: 694833121
Language Note: Abstract in English and French.
Notes: Title screen viewed on Dec. 21, 2010.
Available on the Internet in PDF format.
Description: 36 pages.
Series Title: Working paper (Bank of Canada : Online), 2010-29.
Responsibility: by Céline Gauthier, Zhongfang He and Moez Souissi.

Abstract:

"We offer a multi-period systemic risk assessment framework with which to assess recent liquidity and capital regulatory requirement proposals in a holistic way. Following Morris and Shin (2009), we introduce funding liquidity risk as an endogenous outcome of the interaction between market liquidity risk, solvency risk, and the funding structure of banks. To assess the overall impact of different mix of capital and liquidity, we simulate the framework under a severe but plausible macro scenario for different balance-sheet structures. Of particular interest, we find that (1) capital has a decreasing marginal effect on systemic risk, (2) increasing capital alone is much less effective in reducing liquidity risk than solvency risk, (3) high liquid asset holdings reduce the marginal effect of increasing short term liability on systemic risk, and (4) changing liquid asset holdings has little effect on systemic risk when short term liability is sufficiently low."--Abstract.

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