Centrality-based Capital Allocations
12.2014β―Π³. Β· International Monetary Fund
ΠΠ»Π΅ΠΊΡΡΠΎΠ½Π½Π° ΠΊΠ½ΠΈΠ³Π°
40
Π‘ΡΡΠ°Π½ΠΈΡΠΈ
reportΠΡΠ΅Π½ΠΊΠΈΡΠ΅ ΠΈ ΠΎΡΠ·ΠΈΠ²ΠΈΡΠ΅ Π½Π΅ ΡΠ° ΠΏΠΎΡΠ²ΡΡΠ΄Π΅Π½ΠΈ Β ΠΠ°ΡΡΠ΅ΡΠ΅ ΠΏΠΎΠ²Π΅ΡΠ΅
ΠΡΠΈΡΠΊΠΎ Π·Π° ΡΠ°Π·ΠΈ Π΅Π»Π΅ΠΊΡΡΠΎΠ½Π½Π° ΠΊΠ½ΠΈΠ³Π°
We look at the effect of capital rules on a banking system that is connected through correlated credit exposures and interbank lending. The rules, which combine individual bank characteristics and interconnectivity measures of interbank lending, are to minimize a measure of system-wide losses. Using the detailed German Credit Register for estimation, we find capital rules based on eigenvectors to dominate any other centrality measure, followed by closeness. Compared to the baseline case, capital reallocation based on the Adjacency Eigenvector saves about 15% in system losses as measured by expected bankruptcy costs.
ΠΡΠ΅Π½Π΅ΡΠ΅ ΡΠ°Π·ΠΈ Π΅Π»Π΅ΠΊΡΡΠΎΠ½Π½Π° ΠΊΠ½ΠΈΠ³Π°
ΠΠ°ΠΆΠ΅ΡΠ΅ Π½ΠΈ ΠΊΠ°ΠΊΠ²ΠΎ ΠΌΠΈΡΠ»ΠΈΡΠ΅.
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ΠΠ½ΡΡΠ°Π»ΠΈΡΠ°ΠΉΡΠ΅ ΠΏΡΠΈΠ»ΠΎΠΆΠ΅Π½ΠΈΠ΅ΡΠΎ Google Play ΠΠ½ΠΈΠ³ΠΈ Π·Π° Android ΠΈ iPad/iPhone. Π’ΠΎ Π°Π²ΡΠΎΠΌΠ°ΡΠΈΡΠ½ΠΎ ΡΠ΅ ΡΠΈΠ½Ρ
ΡΠΎΠ½ΠΈΠ·ΠΈΡΠ° Ρ ΠΏΡΠΎΡΠΈΠ»Π° Π²ΠΈ ΠΈ Π²ΠΈ ΠΏΠΎΠ·Π²ΠΎΠ»ΡΠ²Π° Π΄Π° ΡΠ΅ΡΠ΅ΡΠ΅ ΠΎΠ½Π»Π°ΠΉΠ½ ΠΈΠ»ΠΈ ΠΎΡΠ»Π°ΠΉΠ½, ΠΊΡΠ΄Π΅ΡΠΎ ΠΈ Π΄Π° ΡΡΠ΅.
ΠΠ°ΠΏΡΠΎΠΏΠΈ ΠΈ ΠΊΠΎΠΌΠΏΡΡΡΠΈ
ΠΠΎΠΆΠ΅ΡΠ΅ Π΄Π° ΡΠ»ΡΡΠ°ΡΠ΅ Π·Π°ΠΊΡΠΏΠ΅Π½ΠΈΡΠ΅ ΠΎΡ Google Play Π°ΡΠ΄ΠΈΠΎΠΊΠ½ΠΈΠ³ΠΈ ΠΏΠΎΡΡΠ΅Π΄ΡΡΠ²ΠΎΠΌ ΡΠ΅Π± Π±ΡΠ°ΡΠ·ΡΡΠ° Π½Π° ΠΊΠΎΠΌΠΏΡΡΡΡΠ° ΡΠΈ.
ΠΠ»Π΅ΠΊΡΡΠΎΠ½Π½ΠΈ ΡΠ΅ΡΡΠΈ ΠΈ Π΄ΡΡΠ³ΠΈ ΡΡΡΡΠΎΠΉΡΡΠ²Π°
ΠΠ° Π΄Π° ΡΠ΅ΡΠ΅ΡΠ΅ Π½Π° ΡΡΡΡΠΎΠΉΡΡΠ²Π° Ρ Π΅Π»Π΅ΠΊΡΡΠΎΠ½Π½ΠΎ ΠΌΠ°ΡΡΠΈΠ»ΠΎ, ΠΊΠ°ΡΠΎ Π½Π°ΠΏΡΠΈΠΌΠ΅Ρ Π΅Π»Π΅ΠΊΡΡΠΎΠ½Π½ΠΈΡΠ΅ ΡΠ΅ΡΡΠΈ ΠΎΡ Kobo, ΡΡΡΠ±Π²Π° Π΄Π° ΠΈΠ·ΡΠ΅Π³Π»ΠΈΡΠ΅ ΡΠ°ΠΉΠ» ΠΈ Π΄Π° Π³ΠΎ ΠΏΡΠ΅Ρ
Π²ΡΡΠ»ΠΈΡΠ΅ Π½Π° ΡΡΡΡΠΎΠΉΡΡΠ²ΠΎΡΠΎ ΡΠΈ. ΠΠ·ΠΏΡΠ»Π½Π΅ΡΠ΅ ΠΏΠΎΠ΄ΡΠΎΠ±Π½ΠΈΡΠ΅ ΠΈΠ½ΡΡΡΡΠΊΡΠΈΠΈ Π² ΠΠΎΠΌΠΎΡΠ½ΠΈΡ ΡΠ΅Π½ΡΡΡ, Π·Π° Π΄Π° ΠΏΡΠ΅Ρ
Π²ΡΡΠ»ΠΈΡΠ΅ ΡΠ°ΠΉΠ»ΠΎΠ²Π΅ΡΠ΅ Π² ΠΏΠΎΠ΄Π΄ΡΡΠΆΠ°Π½ΠΈΡΠ΅ Π΅Π»Π΅ΠΊΡΡΠΎΠ½Π½ΠΈ ΡΠ΅ΡΡΠΈ.
