English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Plus monthly

Global: Zendy Tools annual

Global: Zendy Tools monthly

Global: Zendy Free Plan

We consider the problem of governing systemic risk in an assets-liabilitiesdynamical model of banking system. In the model considered each bank isrepresented by its assets and its liabilities.The capital reserves of a bankare the difference between assets and liabilities of the bank. A bank issolvent when its capital reserves are greater or equal to zero otherwise thebank is failed.The banking system dynamics is defined by an initial valueproblem for a system of stochastic differential equations whose independentvariable is time and whose dependent variables are the assets and theliabilities of the banks.The banking system model presented generalizes thosediscussed in [4],[3] and describes a homogeneous population of banks. The mainfeatures of the model are a cooperation mechanism among banks and thepossibility of the (direct) intervention of the monetary authority in thebanking system dynamics. We call systemic risk or systemic event in a boundedtime interval the fact that in that time interval at least a given fraction ofthe banks fails. The probability of systemic risk in a bounded time interval isevaluated using statistical simulation. The systemic risk governance pursuesthe goal of keeping the probability of systemic risk in a bounded time intervalbetween two given thresholds.The monetary authority is responsible for thesystemic risk governance.The governance consists in the choice of the assetsand of the liabilities of a kind of "ideal bank" as functions of time and inthe choice of the rules that regulate the cooperation mechanism amongbanks.These rules are obtained solving an optimal control problem for thepseudo mean field approximation of the banking system model. The governanceinduces the banks of the system to behave like the "ideal bank". Shocks actingon the assets or on the liabilities of the banks are simulated.

An assets-liabilities dynamical model of banking system and systemic risk governance