Optimal Economic Capital Under the Consideration of Systemic Risk

36 Pages Posted: 2 Feb 2014 Last revised: 9 Oct 2016

See all articles by Hong Mao

Hong Mao

Shanghai Second Polytechnic University

James M. Carson

University of Georgia

Krzysztof Ostaszewski

Illinois State University

Nan Zhu

Pennsylvania State University - Smeal College of Business

Date Written: February 26, 2016

Abstract

In this article, we discuss the determination of the optimal capital level under the consideration of systemic risk. We establish several models for calculating optimal capital level in different conditions including without constraint, with constraints of the value of systemic risk (STVaR) and the value of expected shortfall of systemic risk (STVaR) respectively. We also carry out some numerical analysis with the data from 61 main banks of U.S. and Canada.

Keywords: Systemic Risk Capital

JEL Classification: I20

Suggested Citation

Mao, Hong and Carson, James M. and Ostaszewski, Krzysztof and Zhu, Nan, Optimal Economic Capital Under the Consideration of Systemic Risk (February 26, 2016). Available at SSRN: https://ssrn.com/abstract=2389504 or http://dx.doi.org/10.2139/ssrn.2389504

Hong Mao

Shanghai Second Polytechnic University ( email )

No.2360, Jinhai Road
Shanghai, 201209
China

James M. Carson

University of Georgia ( email )

Athens, GA 30602-6254
United States

Krzysztof Ostaszewski (Contact Author)

Illinois State University ( email )

Department of Mathematics
Normal, IL 61790-4520
United States
+1-309-438-7226 (Phone)
+1-309-438-5866 (Fax)

HOME PAGE: http://math.illinoisstate.edu/krzysio

Nan Zhu

Pennsylvania State University - Smeal College of Business ( email )

University Park, PA 16802
United States

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