Gauthier, Céline; Lehar, Alfred; Souissi, Moez - In: Journal of Financial Intermediation 21 (2012) 4, pp. 594-618
When setting banks’ regulatory capital requirement based on their contribution to the overall risk of the banking system we have to consider that the risk of the banking system as well as each bank’s risk contribution changes once bank equity capital gets reallocated. We define...