haku: @author Pecchenino, R. A. / yhteensä: 3
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| Tekijä: | Pecchenino, R. A. |
| Otsikko: | Risk averse bank managers: Exogenous shocks, portfolio reallocations and market spillovers |
| Lehti: | Journal of Banking and Finance
1998 : FEB, VOL. 22:2, p. 161-174 |
| Asiasana: | PORTFOLIO INVESTMENT MODELS BANKING MARKETS CREDIT |
| Kieli: | eng |
| Tiivistelmä: | The paper develops a model of the banking market in which individual banks make decisions concerning both the size and risk characteristics of their portfolios, and in which actions of one bank spill over to affect actions of other banks. Various observed banking market behaviors, such as herding, credit crunches, bank reaction to policy changes, etc., are explained as optimal bank responses to idiosyncratic or systemic shocks. |
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