Optimal portfolio allocations in a heterogenous banking system

Abstract

We study the portfolio selection implications of leverage requirements, when banks need to deleverage in response to price shocks to satisfy these regulatory requirements. Banks choose their asset holdings in order to minimize... [ view full abstract ]

Authors

  1. Marko Weber (Columbia University)
  2. Agostino Capponi (Columbia University)

Topic Area

Capital Requirements

Session

PS » Poster Presentations (11:00 - Monday, 16th July)

Presentation Files

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