发帖
雷达卡
by Sebastian C. Moenninghoff
About the author
Sebastian Moenninghoff works in the financial services industry in New York. He has extensive experience advising financial institutions in the U.S. and Europe during and after the financial crisis and has published and taught on banking regulation and financial innovation.
About this book
Sebastian Moenninghoff provides an extensive overview of the status of the ‘Too-Big-to-Fail’ doctrine post-crisis and develops the first comprehensive framework to categorize and discuss the full range of major policy options for regulating banks. Governments need to actively manage their exposure to banking system risk with the optimal policy mix depending on risk return preferences of a society and an economy’s institutional setting. The new regulation for global systemically important banks developed by international regulators following the financial crisis is a significant step in expanding the tools to manage government exposure to banking system risk.
Target Groups:
- Researchers and students in the fields of economics with a focus on finance and banking
- Practitioners in the fields of financial services, banking, regulation, politics, and journalism
Table of contents
1. Introduction
2. Consequences of Government Guarantees for Banks – A Survey of the TBTF Doctrine
2.1 Introduction
2.2 Surveys of Government Guarantees for Banks
2.3 TBTF as a Consequence of Government Guarantees
2.3.1 Consequences of government guarantees
2.3.2 The logic of the TBTF doctrine
2.3.3 Alternative theories in the context of government guarantees for banks
2.3.4 Empirical approaches to measuring the prevalence of TBTF
2.4 Government Exposure and Subsidies
2.4.1 Contingent claims approach and absolute subsidy estimates
2.4.2 Funding advantages based on contingent claims approach and rating-implied spreads
2.4.3 Costs of past rescue measures
2.4.4 Summary of empirical evidence of government exposure and subsidies
2.5 Competitive Distortions from Government Guarantees
2.5.1 Dimensions of competitive distortions
2.5.2 Empirical approaches to measure guarantee-return relationships
2.5.3 Empirical evidence of competitive distortions
2.5.3.1 Competitive distortions by individual institution systemic relevance
2.5.3.2 Competitive distortions by scope of activities covered by guarantees
2.5.3.3 Competitive distortions by geography
2.5.4 Summary of empirical evidence of competitive distortions
2.6 Government Guarantees and Risk Taking
2.6.1 The concept of moral hazard in banking
2.6.2 Empirical approaches based on guarantee-risk relationships
2.6.3 Empirical findings based on guarantee-risk relationships
2.6.4 Summary of empirical evidence of bank risk taking based on guarantee-risk relationships
2.6.5 Empirical approaches based on risk-return relationships
2.6.6 Empirical findings based on risk-return relationships
2.6.7 Summary of empirical evidence of bank risk taking based on risk-return relationships
2.7 Conclusion
3. Government Guarantees and Banking System Risk – A Regulatory Framework from an Exposure Perspec
3.1 Introduction
3.2 Banking System Exposure from a Credit Risk Perspective
3.2.1 Fundamentals of an exposure perspective for banking system risk
3.2.2 Structural credit risk modeling in regulatory capital determination
3.2.3 Application of structural credit risk models to government guarantees for banks
3.2.4 Credit risk components of banking system exposure
3.2.4.1 Probability of distress
3.2.4.2 Exposure at distress
3.2.4.3 Loss given distress
3.2.5 An exposure-based framework of principle policy choices
3.3 Banking System Exposure from a Sovereign Portfolio Perspective
3.3.1 Introduction to sovereign portfolio management
3.3.2 Macroeconomic tradeoffs implied by regulatory policy choices
3.3.3 Banking system exposure management from a portfolio perspective
3.4 Regulatory Policy Options and Their Economic Tradeoffs
3.4.1 Management of probability of distress
3.4.1.1 Zero exposure: Narrow banking with all-equity financed banks
3.4.1.2 Limited exposure: Minimum capital and liquidity requirements
3.4.2 Management of loss given distress
3.4.2.1 Zero exposure: Narrow banking with assets restricted to government securities
3.4.2.2 Limited exposure: Structural restrictions
3.4.2.3 Limited exposure: Pigovian tax
3.4.2.4 Limited exposure: Resolution powers and wind-down authorities
3.4.3 Management of exposure at distress
3.4.3.1 Zero exposure: Free banking
3.4.3.2 Limited exposure: Bail-inable claims
3.4.3.3 Full exposure: Nationalization of the banking system
3.4.4 Growth-stability tradeoff
3.4.5 Exposure factor interaction and interconnections
3.5 Discussion and Conclusion
3.5.1 Institutional design, financial system structure and international policy
3.5.2 The new regulation dealing with Global Systemically Important Banks
3.5.3 Results, limitations and future research
3.5.4 Conclusion
4. Empirical Evidence from the New International Regulation Dealing with Global Systemically Importa
4.1 Introduction
4.2 G-SIB Regulation and Hypotheses
4.2.1 Explicit and implicit government guarantees
4.2.2 New G-SIB regulation
4.2.3 Hypotheses
4.3 Data and Methodology
4.3.1 Sample
4.3.1.1 Sample compilation
4.3.1.2 Sub-sample definitions
4.3.1.3 G-SIB designation
4.3.2 Event dates
4.3.3 Methodology
4.3.3.1 Abnormal return calculation
4.3.3.2 Test statistics
4.4 Empirical Results
4.4.1 Overall results
4.4.2 Regulatory announcements
4.4.3 Designation announcements
4.4.4 Cross-sectional analysis of G-SIB returns
4.5 Conclusion
5. Conclusion
Bibliography
List of Appendices
Appendix
Pages: 181
Publisher: Springer Gabler, 2018
Language: English
ISBN-13: 9783658238117
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