An Equilibrium-Based Measure of Systemic Risk
This paper develops and implements an equilibrium model of systemic risk. The model derives a systemic risk measure, loss beta, in characterizing all too-big-to-fail banks using a capital insurance equilibrium. By constructing each bank’s loss portfolio with a recent accounting approach, we perform...
Main Authors: | , , , |
---|---|
Format: | Article |
Language: | English |
Published: |
MDPI AG
2021-09-01
|
Series: | Journal of Risk and Financial Management |
Subjects: | |
Online Access: | https://www.mdpi.com/1911-8074/14/9/414 |