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• W657885990 abstract "In this paper, we study systemic risk implications of balance sheet heterogeneity in a banking system. More specifically, by using various network tools, we analyse the impacts of financial leverage heterogeneity in a banking system. Furthermore, we investigate systemic impacts of idiosyncratic shocks under the existence of heterogeneously levered banks. It has been shown that, introducing leverage heterogeneity in the banking system strictly worsens all of the systemic risk measures. In our calibration, we have used the historical financial leverage data of the US banking system used in FED’s stress testing exercise. In this environment, idiosyncratic shocks had wider effect on the banking system causing many of the banks deplete their minimum regulatory capitals. Our study is also related to the recent BASEL III regulations on systemic risk and the treatment of the Global Systemically Important Banks (GSIB’s). Our approach can be useful to assess to what extent the recent capital surcharges on GSIB’s can be useful to curb the financial fragility in the banking system." @default.
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• W657885990 date "2014-01-01" @default.
• W657885990 modified "2023-10-04" @default.
• W657885990 title "Systemic Risk and Heterogeneous Leverage in Banking Network: Implications for Banking Regulation" @default.
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• W657885990 hasPublicationYear "2014" @default.
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