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    Risk averse bank managers: Exogenous shocks, portfolio reallocations and market spillovers


    Pecchenino, Rowena A. (1998) Risk averse bank managers: Exogenous shocks, portfolio reallocations and market spillovers. Journal of Banking and Finance, 22 (2). pp. 161-174. ISSN 0378-4266

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    Abstract

    This 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.

    Item Type: Article
    Keywords: Portfolio allocation; Spillovers; Credit crunch;
    Academic Unit: Faculty of Social Sciences > Economics, Finance and Accounting
    Item ID: 8513
    Identification Number: https://doi.org/10.1016/S0378-4266(97)00050-2
    Depositing User: Prof. Rowena Pecchenino
    Date Deposited: 26 Jul 2017 08:27
    Journal or Publication Title: Journal of Banking and Finance
    Publisher: Elsevier
    Refereed: Yes
    URI:

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