Systemic risk and the optimal seniority structure of banking liabilities

Bougheas, Spiros and Kirman, Alan (2017) Systemic risk and the optimal seniority structure of banking liabilities. International Journal of Finance and Economics . ISSN 1099-1158 (In Press)

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Abstract

The paper argues that systemic risk must be taken into account when designing optimal bankruptcy procedures in general, and priority rules in particular. Allowing for endogenous formation of links in the interbank market we show that the optimal policy depends on the distribution of shocks and the severity of fire sales.

Item Type: Article
Keywords: Banks; Priority rules; Systemic Risk
Schools/Departments: University of Nottingham, UK > Faculty of Social Sciences > School of Economics
Depositing User: Eprints, Support
Date Deposited: 13 Dec 2017 15:16
Last Modified: 14 Dec 2017 10:46
URI: http://eprints.nottingham.ac.uk/id/eprint/48726

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