Volume 5, Issue 1, April 2015, Pages 16 - 30
Banking Balance Sheet Channel of Systemic Risk
Authors
Vincent B.Y. Gan
Corresponding Author
Vincent B.Y. Gan
Received 24 January 2015, Accepted 20 February 2015, Available Online 1 April 2015.
- DOI
- 10.2991/jrarc.2015.5.1.2How to use a DOI?
- Keywords
- Banks, balance sheet, systemic risk, measuring risk
- Abstract
The role of the banking balance sheet as the source and transmitter of systemic risk is explored. We find that the key balance sheet channels of systemic risk are; (i) bank capital structure choice, (ii) interconnectedness and interdependencies among firms, (iii) correlations of asset composition and returns and; (iv) behavioral determinants that affect the choices of bank managers. Furthermore, we argue that the source of systemic risk lies with the endogenous risk of the banking balance sheet. We discuss the challenges in managing and measuring endogenous and systemic risk. Considering the strong evidence that book values of leverage are key state variables, we suggest new methods to manage and measure systemic risk.
- Copyright
- © 2017, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - JOUR AU - Vincent B.Y. Gan PY - 2015 DA - 2015/04/01 TI - Banking Balance Sheet Channel of Systemic Risk JO - Journal of Risk Analysis and Crisis Response SP - 16 EP - 30 VL - 5 IS - 1 SN - 2210-8505 UR - https://doi.org/10.2991/jrarc.2015.5.1.2 DO - 10.2991/jrarc.2015.5.1.2 ID - Gan2015 ER -