Journal of Risk Analysis and Crisis Response

Volume 5, Issue 1, April 2015, Pages 16 - 30

Banking Balance Sheet Channel of Systemic Risk

Authors
Vincent B.Y. Gan
Corresponding Author
Vincent B.Y. Gan
Received 24 January 2015, Accepted 20 February 2015, Available Online 1 April 2015.
DOI
https://doi.org/10.2991/jrarc.2015.5.1.2How to use a DOI?
Keywords
Banks, balance sheet, systemic risk, measuring risk
Abstract
The role of the banking balance sheet as the source and transmitter of systemic risk is explored. We find that the key balance sheet channels of systemic risk are; (i) bank capital structure choice, (ii) interconnectedness and interdependencies among firms, (iii) correlations of asset composition and returns and; (iv) behavioral determinants that affect the choices of bank managers. Furthermore, we argue that the source of systemic risk lies with the endogenous risk of the banking balance sheet. We discuss the challenges in managing and measuring endogenous and systemic risk. Considering the strong evidence that book values of leverage are key state variables, we suggest new methods to manage and measure systemic risk.
Open Access
This is an open access article distributed under the CC BY-NC license.

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Journal
Journal of Risk Analysis and Crisis Response
Volume-Issue
5 - 1
Pages
16 - 30
Publication Date
2015/04
ISSN (Online)
2210-8505
ISSN (Print)
2210-8491
DOI
https://doi.org/10.2991/jrarc.2015.5.1.2How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - JOUR
AU  - Vincent B.Y. Gan
PY  - 2015
DA  - 2015/04
TI  - Banking Balance Sheet Channel of Systemic Risk
JO  - Journal of Risk Analysis and Crisis Response
SP  - 16
EP  - 30
VL  - 5
IS  - 1
SN  - 2210-8505
UR  - https://doi.org/10.2991/jrarc.2015.5.1.2
DO  - https://doi.org/10.2991/jrarc.2015.5.1.2
ID  - Gan2015
ER  -