E-mail alert  |  Contact  
Search:       Go  
Background  |   Sponsoring institutions  |   Editorial board   |   Advisory board   |   Associate editors
Call for papers  |   Submission guidelines  |   Editorial process
Current issue  |   Past issues  |  
June 2015 issue
List of authors
 
Clerc, Derviz, Mendicino, Moyen, Nikolov, Stracca, Suarez, Vardoulakis
Mésonnier, Monks
Cecchetti
Cuciniello, Signoretti
Pierret
Cerasi, Oliviero
Kharroubi
Alter, Craig, Raupach
Haldane
IJCB Home   Read the journal   Past issue
Past issues
2017
 
September
June
March
February
2016
 
December
September
June
March
2015
 
December
September
June
March
January
2014
 
December
September
June
March
2013
 
December
September
June
March
January
2012
 
December
September
June
March
January
2011
 
December
September
June
March
2010
 
December
September
June
March
2009
 
December
September
June
March
2008
 
December
September
June
March
2007
 
December
September
June
March
2006
 
December
September
June
March
2005
 
December
September
May

Centrality-Based Capital Allocations

by Adrian Altera, Ben R. Craigb, c and Peter Raupachb

Abstract

We look at the effect of capital rules on a banking system that is connected through correlated credit exposures and interbank lending. Keeping total capital in the system constant, the reallocation 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 that capital rules based on eigenvectors dominate any other centrality measure, saving about 15 percent in expected bankruptcy costs.

JEL Codes: G21, G28, C15, C81.

 
Full article (PDF, 49 pages, 963 kb)

Discussion by Alireza Tahbaz-Salehi


a International Monetary Fund
b Deutsche Bundesbank
c Federal Reserve Bank of Cleveland