詳細情報
| 著作分類 | ワーキングペーパー |
|---|---|
| 著者 | Nirei, Makoto : Julián Caballero : Vladyslav Sushko |
| 論文タイトル | Bank capital shock propagation via syndicated interconnectedness |
| 機関名 | Bank for International Settlements |
| ナンバー | BIS Working Papers No 484 |
| 公開日 | 2015/01/27 |
| 要旨 | Loan syndication increases bank interconnectedness through co-lending relationships. We study the financial stability implications of such dependency on syndicate partners in the presence of shocks to banks' capital. Model simulations in a network setting show that such shocks can produce rare events in this market when banks have shared loan exposures while also relying on a common risk management tool such as value-at-risk (VaR). This is because a withdrawal of a bank from a syndicate can cause ripple effects through the market, as the loan arranger scrambles to commit more of its own funds by also pulling back from other syndicates or has to dissolve the syndicate it had arranged. However, simulations also show that the core-periphery structure observed in the empirical network may reduce the probability of such contagion. In addition, simulations with tighter VaR constraints show banks taking on less risk ex-ante. |
| 備考 | ISSN 1020-0959 (print) ISSN 1682-7678 (online) |
| 参考URL | http://www.bis.org/publ/work484.htm |
| ラベル | |
| 登録日 | 2015/01/27 |
