Leverage-induced systemic risk under Basle II and other credit risk policies
We use a simple agent based model of value investors in financial markets to test three credit regulation policies. The first is the unregulated case, which only imposes limits on maximum leverage. The second is Basle II and the third is a hypothetical alternative in which banks perfectly hedge all...
| Main Authors: | , , , |
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| Format: | Journal article |
| Published: |
Elsevier
2014
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