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dc.contributor.authorAtreya, Nikhil
dc.contributor.authorMjøs, Aksel
dc.contributor.authorPersson, Svein-Arne
dc.date.accessioned2015-11-27T10:14:25Z
dc.date.available2015-11-27T10:14:25Z
dc.date.issued2015-11-27
dc.identifier.issn1500-4066
dc.identifier.urihttp://hdl.handle.net/11250/2365954
dc.description.abstractWe create a structural credit model to calculate the optimal capital structure for a bank that provides asset backed loans, such as corporate loans and mortgages. The bank's assets are loans, which means that the bank's exposure to risk is mitigated by the borrower's equity. We capture the effect of this mitigation by including the borrower's leverage, in addition to its asset volatility, as the sources of risk for the bank. Our results contribute a quantitative explanation for the high levels of bank leverage observed in practice. When unconstrained by regulation, the bank's shareholders find it optimal, for reasonable values of borrower risk parameters, to select a bank leverage close to 100%.nb_NO
dc.language.isoengnb_NO
dc.publisherFORnb_NO
dc.relation.ispartofseriesDiscussion paper;33/15
dc.subjectStructural credit modelnb_NO
dc.subjectoptimal capital structurenb_NO
dc.subjectasset backed loansnb_NO
dc.titleMaking Bank: Why High Bank Leverage is Optimal - for the Bank's Shareholdersnb_NO
dc.typeWorking papernb_NO


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