Capital adequacy rules, catastrophic firm failure, and systemic risk

DOI10.1007/S11147-013-9088-2MaRDI QIDQ385654zbMATH OpenOpenAlexFDO

Authors Robert A. Jarrow

Publication date 2 December 2013

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11147-013-9088-2

zbMATH Keywords

value at risksystemic riskcatastrophic failureleverage ratios

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

Recommendations

• The disturbing interaction between countercyclical capital requirements and systemic risk
• The application of macroprudential capital requirements in managing systemic risk
• Salience, systemic risk and spectral risk measures as capital requirements
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• Default and systemic risk in equilibrium
• Excess capital, operational disaster risk, and capital requirements for banks
• Allocating systemic risk in a regulatory perspective
• Systemic risk in financial systems
• Where the risks lie: a survey on systemic risk

Cites work

• An Introduction to Credit Risk Modeling
• Probability essentials
• Put Option Premiums and Coherent Risk Measures

Cited in

(6)

• Scaling the twin peaks: systemic risk and dual regulation
• Measuring the probability of a financial crisis
• Salience, systemic risk and spectral risk measures as capital requirements
• Regulation risk
• Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules
• Revenge of the steamroller: ABCP as a window on risk choices

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