Arbeitspapier
Asset encumbrance, bank funding and financial fragility
How does asset encumbrance affect the fragility of intermediaries subject to rollover risk? We offer a model in which a bank issues covered bonds backed by a pool of assets that is bankruptcy remote and replenished following losses. Encumbering assets allows a bank to raise cheap secured debt and expand profitable investment, but it also concentrates risk on unsecured debt and thus exacerbates fragility and raises unsecured funding costs. Deposit insurance or wholesale funding guarantees induce excessive encumbrance and fragility. To mitigate such risk shifting, we study prudential regulatory tools, including limits on encumbrance, minimum capital requirements and surcharges for encumbrance.
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Canada Staff Working Paper ; No. 2016-16
- Klassifikation
-
Wirtschaft
Asymmetric and Private Information; Mechanism Design
Financial Crises
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Financial Institutions and Services: Government Policy and Regulation
- Thema
-
Financial institutions
Financial stability
Financial system
regulation and policies
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Ahnert, Toni
Anand, Kartik
Gai, Prasanna S.
Chapman, James
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Canada
- (wo)
-
Ottawa
- (wann)
-
2016
- DOI
-
doi:10.34989/swp-2016-16
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:22 MESZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Ahnert, Toni
- Anand, Kartik
- Gai, Prasanna S.
- Chapman, James
- Bank of Canada
Entstanden
- 2016
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