Bank’s strategic interaction, adverse price dynamics and systemic liquidity risk

IF 1.3 Q3 BUSINESS, FINANCE
Ulrich Krüger, Christoph Roling, Leonid Silbermann, Lui-Hsian Wong
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引用次数: 0

Abstract

When a widespread funding shock hits the banking system, banks may engage in strategic behaviour to deal with funding shortages by a pre-emptive disposal of assets. Alternatively, they may adopt a more cautious strategy to mitigate price reactions, thereby distributing the assets sales into smaller portions over time. We model banks’ optimal behaviour using standard optimisation techniques and show that an equilibrium always exits in a stylised setting. A numerical analysis to approximate the equilibrium supplements the theoretical part. The implementation delivers two liquidity measures for the German banking system: the Systemic Liquidity Buffer and the Systemic Liquidity Shortfall. These measures are more informative about systemic liquidity risk than regulatory liquidity measures, such as the LCR, because they model adverse, nonlinear price dynamics in a more realistic way. Our approach is applied to different stress scenarios.

Abstract Image

银行的战略互动、不利的价格动态和系统性流动性风险
当银行系统受到广泛的资金冲击时,银行可能会采取战略性行为,通过先发制人地出售资产来应对资金短缺。或者,它们也可以采取更加谨慎的策略来减轻价格反应,从而在一段时间内将资产销售分成较小的部分。我们使用标准优化技术对银行的最优行为进行建模,结果表明,在一个风格化的环境中,均衡总是存在的。近似均衡的数值分析是对理论部分的补充。该方法的实施为德国银行系统提供了两种流动性衡量标准:系统流动性缓冲和系统流动性缺口。与 LCR 等监管流动性指标相比,这些指标更能反映系统性流动性风险,因为它们以更现实的方式模拟了不利的非线性价格动态。我们的方法适用于不同的压力情景。
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来源期刊
CiteScore
3.70
自引率
6.20%
发文量
21
期刊介绍: Under the guidance of its highly respected Editors and an eminent and truly international Editorial Board?Journal of Banking Regulation?has established itself as one of the leading sources of authoritative and detailed information on all aspects of law and regulation affecting banking institutions.Journal of Banking Regulation?publishes in each quarterly issue detailed briefings analyses and updates which are of direct relevance to practitioners working in the field while meeting the highest intellectual standards.Journal of Banking Regulation?publishes the latest thinking and best practice on:Basel I II and IIIModels for banking supervisionInternational accounting standardsDeposit protectionEnforcement decisions in banking regulation and supervisionCross-border competition in banking servicesCorporate governance in banksHarmonisation in banking marketsSupervising credit riskAnti-money laundering legislation and regulationsMonetary integrationRisk capital and capital adequacySystemic risk in banking operationsCross-border regulationCross-border bank insolvencyModels for banking riskEssential reading for:central bankersbanking supervisorsfinancial regulatorsbankerscompliance officersheads of risk managementpolicy makersbank associationslawyers specialising in banking lawaccountantsinternal and external bank auditorsacademics and researchers
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