How Cyclical is Bank Capital?
نویسندگان
چکیده
منابع مشابه
The Cyclical Behavior of Optimal Bank Capital
This paper presents a dynamic model of optimal bank capital in which the bank optimizes over costs associated with failure, holding capital, and flows of external capital. The solution to the infinite-horizon optimization problem is related to period-by-period value-at-risk (var) in which the optimal probability of failure is endogenously determined. Over a cycle, var is positively correlated w...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2015
ISSN: 1556-5068
DOI: 10.2139/ssrn.2584542