CEU Electronic Theses and Dissertations, 2015
| Author | Borsos, András |
|---|---|
| Title | Efficiency in bank regulation: analyzing contagion in the Hungarian interbank network |
| Summary | This thesis investigates the potential gains of introducing higher capital requirements for systemically important financial institutions (SIFIs). To assess the effect of this differentiation, the analysis compares the proposed SIFI-based policy to the conventional general capital requirement regulation by estimating the losses caused by contagious bank defaults spreading in the Hungarian interbank network. A pivotal part of the applied methodology is connected to the lack of available information about the bilateral exposures in this system. To handle this obstacle, the reconstruction of the unobservable adjacency matrix was conducted by using three different methods – Maximum Entropy approach, Minimum Density approach and a copula-based approach – to provide a range for the estimations. The identification of SIFIs was done primarily by implementing a Shapley-value-based technique, but the study also contains a simple form of core-periphery decomposition and a more qualitative indicator-based measure as robustness checks. The results underpin the intuition that the SIFI-based regulation is potentially more efficient than the conventional policies; however, some possible pitfalls also emerge due to the imperfection of SIFI identification. As a complementary result, the thesis also offers an illustration of the advantages and the deficiencies of the implemented network reconstruction techniques. |
| Supervisor | Mantegna, Rosario Nunzio |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2015/borsos_andras.pdf |
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