How is the likelihood of fire sales in a crisis affected by the interaction of various bank regulations? / by Divya Kirti and Vijay Narasiman.

By:

Kirti, Divya [author.]

Contributor(s):

Narasiman, Vijay [author.]

Material type: Text

TextSeries: IMF working paper ; WP/17/68.Publication details: Washington, D.C. : International Monetary Fund, 2017.Description: 1 online resource (47 pages)Content type:

text

Media type:

computer

Carrier type:

online resource

ISBN:

9781475588996
1475588992
1475588674
9781475588675

Subject(s):

Genre/Form:

Electronic books.

Additional physical formats: Print version:: How is the likelihood of fire sales in a crisis affected by the interaction of various bank regulations?DDC classification:

332.1 23

LOC classification:

HG1601

Online resources:

Click here to access online

Contents:

Cover; How is the likelihood of fire sales in a crisis affected by the interaction of various bank regulations?; 1 Introduction; 2 Basic Model; 3 Generalized model; 4 Results; 5 Conclusion; References.

Abstract: We present a model that describes how different types of bank regulation can interact to affect the likelihood of fire sales in a crisis. In our model, risk shifting motives drive how banks recapitalize following a negative shock, leading banks to concentrate their portfolios. Regulation affects the likelihood of fire sales by giving banks the incentive to sell certain assets and retain others. Ex-post incentives from high risk weights and the interaction of capital and liquidity requirements can make fire sales more likely. Time-varying risk weights may be an effective tool to prevent fire sales.

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Holdings
Item type	Home library	Collection	Call number	Materials specified	Status	Date due	Barcode
Electronic-Books	OPJGU Sonepat- Campus	E-Books EBSCO			Available

Print version record.

We present a model that describes how different types of bank regulation can interact to affect the likelihood of fire sales in a crisis. In our model, risk shifting motives drive how banks recapitalize following a negative shock, leading banks to concentrate their portfolios. Regulation affects the likelihood of fire sales by giving banks the incentive to sell certain assets and retain others. Ex-post incentives from high risk weights and the interaction of capital and liquidity requirements can make fire sales more likely. Time-varying risk weights may be an effective tool to prevent fire sales.

Includes bibliographical references at the end of each chapters.

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