Référence

Bart Lambrecht (Cambridge Judge Business School - University of Cambridge), « Liquidation, bailout, and bail-in: Insolvency resolution mechanisms and managerial risk-taking », Fédération des Banques Françaises Seminar, TSE, 5 mars 2018, 12h30–14h00, salle MF 323.

Résumé

We present a continuous-time model in which risk averse managers set a bank's investment, payout, and debt policy, and the exposure of bank assets to economic downturns that follow Poisson arrivals. After a downturn, solvent banks sell assets and repay debt to restore the bank's optimal debt ratio. Banks with too large an exposure become insolvent and undergo liquidation, bailout, or bail-in. Banks are most (least) prone to insolvency under the bailout (liquidation) regime. The bailout (bail-in) regime generates the highest (lowest) loan volume and bank value net of recapitalization costs. Liquidations (bail-ins) create the largest (smallest) loss in default.

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