Optimal Economic Capital Under the Consideration of Systemic Risk
36 Pages Posted: 2 Feb 2014 Last revised: 9 Oct 2016
Date Written: February 26, 2016
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
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