Acharya, Viral V - C.E.P.R. Discussion Papers - 2009
Systemic risk is modeled as the endogenously chosen correlation of returns on assets held by banks. The limited … systemic risk-shifting incentive where all banks undertake correlated investments, thereby increasing economy-wide aggregate … bank’s own risk fail to mitigate aggregate risk-shifting incentives, and can, in fact, accentuate systemic risk. Prudential …