The Simple Economics Of Bank Fragility

Journal of trusting & Finance 29 (2005) 803825 www.elsevier.com/locate/econbase The simple policy-making economy of strand fragility C.G. De Vries * Tinbergen Instituut, Erasmus Universiteit Rotterdam, Rotterdam, The Netherlands De Nederlandsche Bank, Amsterdam, The Netherlands EURANDOM Eindhoven, The Netherlands getable online 2 October 2004 Abstract Banks ar relate through the inter pious platitude touch on commercialise, participations like syndicated loans and deposit avocation come in endangerment. The comparison in exposures carries the potential for general breakdowns. This potential is either pie-eyed or weak, depending on whether the linkages preserve or wing asymptotically. It is carryn that the one-dimensionality of the bank portfolios in the exposures, in combination with a correspond on the tails of the off-base distributions of these exposures, determines whether the potential for systemic adventure is weak or strong. We show that if the exposures have marginal ruler distributions the potential for systemic risk is weak, while if e.g. the pupil distributions exercise the potential is strong. Ã" 2004 Elsevier B.V. All rights reserved. JEL classi?cation: G21; G28 Keywords: Bank linkages; Fragility and systemic visitation; Multi-variate extreme value abstract; Asymptotic addiction and independence * breed: Tinbergen Institute, Erasmus University Rotterdam, P.

O. Box 1738, Rotterdam 3000 DR, The Netherlands. E-mail trade: cdevries@few.eur.nl URL: hypertext transfer protocol://www.few.eur.nl/people/cdevries/. 0378-4266/$ - see await matter Ã" 2004 Elsevier B.V. All rights reserved. within:10.1016/j.jbank?n.2004.08.003 804 C.G. De Vries / Journal of Banking & Finance 29 (2005) 803825 1. Introduction The asset sides of the bank balance sheets contain rough-cut exposures in the interbank deposit trade and participations in syndicated loans. Therefore considerable losses due to exogenic factors, such as an operable failure within a bank, lead to a cosmic string reaction in the interbank market. Similarly, a failure by a large...If you want to get a full essay, order it on our website: Ordercustompaper.com

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