Stressed but not helpless : strategic behavior of banks under adverse market conditions / by Grzegorz Hałaj and Sofia Priazhkina. : FB3-5/2021-35E-PDF
"We model bank management actions in severe stress test conditions using a game-theoretical framework. Banks update their balance sheets to strategically maximize risk-adjusted returns to shareholders given three regulatory constraints and feedback effects related to fire sales, interactions of loan supply and demand, and deteriorating funding conditions. The framework allows us to study the role of strategic behaviors in amplifying or mitigating adverse macrofinancial shocks in a banking system and the role of macroprudential policies in the mitigation of systemic risk. In a macro-consistent stress testing application, we show that a trade-off can arise between banking stability (solvency) and macroeconomic stability (lending) and test whether the release of a countercyclical capital buffer can reduce systemic risk"--Abstract, page iii.
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publications.gc.ca/pub?id=9.903143&sl=1
| Ministère/Organisme | Bank of Canada, issuing body. |
|---|---|
| Titre | Stressed but not helpless : strategic behavior of banks under adverse market conditions / by Grzegorz Hałaj and Sofia Priazhkina. |
| Titre de la série | Staff working paper = Document de travail du personnel, 1701-9397 ; 2021-35 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Électronique |
| Document électronique | |
| Note(s) | "Last updated: July 19, 2021." Includes bibliographical references (pages 42-44). |
| Information sur la publication | Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2021. ©2021 |
| Auteur / Contributeur | Hałaj, Grzegorz, author. |
| Description | 1 online resource (iii, 58 pages) : colour illustrations. |
| Numéro de catalogue |
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| Descripteurs | Banks and banking -- Risk management -- Econometric models. Banques -- Gestion du risque -- Modèles économétriques. |
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