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Systemic risk and the optimal seniority structure of banking liabilities

Bougheas, Spiros; Kirman, Alan

Authors

Alan Kirman



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.

Citation

Bougheas, S., & Kirman, A. (2018). Systemic risk and the optimal seniority structure of banking liabilities. International Journal of Finance and Economics, 23(1), https://doi.org/10.1002/ijfe.1602

Journal Article Type Article
Acceptance Date Dec 13, 2017
Online Publication Date Jan 10, 2018
Publication Date Jan 18, 2018
Deposit Date Dec 13, 2017
Publicly Available Date Jan 11, 2020
Journal International Journal of Finance and Economics
Print ISSN 1076-9307
Electronic ISSN 1099-1158
Publisher Wiley
Peer Reviewed Peer Reviewed
Volume 23
Issue 1
DOI https://doi.org/10.1002/ijfe.1602
Keywords Banks; Priority rules; Systemic Risk
Public URL http://eprints.nottingham.ac.uk/id/eprint/48726
Publisher URL http://onlinelibrary.wiley.com/doi/10.1002/ijfe.1602/abstract
Copyright Statement Copyright information regarding this work can be found at the following address: http://eprints.nottingham.ac.uk/end_user_agreement.pdf
Additional Information This is the pre-peer reviewed version of the following article: Bougheas S, Kirman A. Systemic risk and the optimal seniority structure of banking liabilities. Int J Fin Econ. 2018;23:47–54. https://doi.org/10.1002/ijfe.1602, which has been published in final form at http://onlinelibrary.wiley.com/doi/10.1002/ijfe.1602/abstract. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving.

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BankingPriorityRules.IJFE.pdf (283 Kb)
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Copyright Statement
Copyright information regarding this work can be found at the following address: http://eprints.nottingham.ac.uk/end_user_agreement.pdf





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