Systemic risk and heterogeneous leverage in banking networks: implications for banking regulation
| dc.contributor | Graduate Program in Economics. | |
| dc.contributor.advisor | Kuzubaş, Tolga Umut. | |
| dc.contributor.author | Sever, Can. | |
| dc.date.accessioned | 2023-03-16T12:00:53Z | |
| dc.date.available | 2023-03-16T12:00:53Z | |
| dc.date.issued | 2015. | |
| dc.description.abstract | In this paper, I study systemic risk implications of balance sheet heterogeneity in a banking network. More speci cally, I analyse systemic impacts of nancial leverage heterogeneity in a banking system under the existence of idiosyncratic shocks. It has been shown that, introducing leverage heterogeneity in the banking system strictly changes systemic risk measures and reveals the signi cance of bank spedicif characteristics. In the calibration, I have used the historical nancial leverage data of the US banking system used in a recent stress testing exercise conducted by the FED. Through experiments, I observe that relative systemic signi cance of the biggest and the most connected borrowers alters depending upon connectivity of network. The evolution of the network, systemic consequences of interbank market size and market segmentation are also analysed in case of idiosyncratic shocks with di erent target banks. This study is also related to the recent BASEL III regulations on systemic risk and the treatment of the Global Systemically Important Banks (GSIB's). This approach can be useful to assess to what extent the recent capital surcharges on GSIB's can be useful to curb the nancial fragility in the banking system. I show that, applying surcharge for the most levered banks reduces the total systemic risk existing in the banking system. | |
| dc.format.extent | 30 cm. | |
| dc.format.pages | viii, 42 leaves ; | |
| dc.identifier.other | EC 2015 S48 | |
| dc.identifier.uri | https://digitalarchive.library.bogazici.edu.tr/handle/123456789/16450 | |
| dc.publisher | Thesis (M.A.) - Bogazici University. Institute for Graduate Studies in the Social Sciences, 2015. | |
| dc.subject.lcsh | Banks and banking -- Computer network resources. | |
| dc.title | Systemic risk and heterogeneous leverage in banking networks: implications for banking regulation |
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