The impact of Basel III on financial (in)stability: an agent-based credit network approach

DOI10.1080/14697688.2014.999701zbMath1398.91709OpenAlexW2072833482MaRDI QIDQ4683107

Hans-Werner Wohltmann, Sebastian Krug, Matthias Lengnick

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/104966

zbMATH Keywords

agent-based computational economicsfinancial instabilityBasel IIImacroprudential regulationbanking supervisionliquidity coverage ratio

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

Related Items (4)

Can bank-specific variables predict contagion effects? ⋮ Basel III capital surcharges for G-SIBs are far less effective in managing systemic risk in comparison to network-based, systemic risk-dependent financial transaction taxes ⋮ Winter is possibly not coming: mitigating financial instability in an agent-based model with interbank market ⋮ The impacts of interest rates on banks' loan portfolio risk-taking

Cites Work

• Varieties of agents in agent-based computational economics: a historical and an interdisciplinary perspective
• Basel III and the net stable funding ratio
• The financial accelerator in an evolving credit network
• Rollover risk and endogenous network dynamics
• Bank Runs, Deposit Insurance, and Liquidity

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