This study examines the long-run cost implications for banks of funding more of their assets with equity capital, in an economy with a strong dependence on bank-intermediated financing and a highly concentrated banking industry. Despite domestic conditions that are likely to heighten...

We introduce an endogenous network model of the interbank overnight lending market. Banks are motivated to meet the minimum reserve requirements set by the Central Bank, but their reserves are subject to random shocks. To adjust their expected end-of-the-day reserves, banks enter the interbank...

This research project compares the application of the competition laws of China and Australia to bank mergers, against financial regulatory frameworks and the dual objectives of competition and economic stability. As the title indicates, it seeks to identify lessons for Australian banks and...

The Centre for International Finance and Regulation and UNSW Australia jointly funded this research under CIFR Project T20. The Centre for International Finance and Regulation is funded by the Commonwealth and NSW Governments and is supported by other Consortium members. The research question...

It has been said that the intellectual origins of the global financial crisis (GFC) can be traced back to “blind spots” in traditional financial theory, which obscured complexity and financial innovation in contemporary markets. There has been growing recognition that changes to the modern...

This study analyses the level of systematic risk for US mortgage portfolio securitisationsbased on the variation of default rates which cannot be explained by observeddeterministic factors. Systematic risk is decomposed into general systemic risk, ratingclass-specific systematic risk and their...

This study examines whether systemically important banks realise an implicit subsidy when raising wholesale debt funding and evaluates the effectiveness of the Basel III capital reforms in reducing the subsidy. Our estimations suggest that, before the reforms, systemically important banks...

We propose a portfolio holdings-based method for evaluating global equity funds that decomposes excess returns versus benchmark indices into contributions from six equity and three currency ‘style factors', and alpha. The method is used to characterize sources of performance for institutional...

This paper analyses how borrower liquidity constraints and home equity relate to the realized loss given default (LGD) using the quarterly U.S. residential mortgage loan-level data observed from Q2 2005 to Q1 2015. We define defaulted loans with zero-LGD as cure loans and those with non-zero LGD...

This paper provides a theoretical analysis of the twin peaks method of financial system regulation, with particular reference to the Australian iteration of the model. This includes a description of how twin peaks functions, its historical development, and its strengths and weaknesses. An...