Systemic risk and the optimal seniority structure of banking liabilities

Bougheas, Spiros; Kirman, Alan

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), 47-54. 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
• Pages: 47-54
• DOI: https://doi.org/10.1002/ijfe.1602
• Keywords: Banks; Priority rules; Systemic Risk
• Public URL: https://nottingham-repository.worktribe.com/output/905832
• Publisher URL: http://onlinelibrary.wiley.com/doi/10.1002/ijfe.1602/abstract
• 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.