2026-09-20T11:34:23Zhttps://dspace.mit.edu/server/oai/requestoai:dspace.mit.edu:1721.1/1233802021-07-05T14:03:20Zcom_1721.1_7582com_1721.1_7581col_1721.1_131023
Adrien Verdelhan.
Goulding, William, Ph. D. Sloan School of Management.
Sloan School of Management.
Sloan School of Management
2020-01-08T19:39:57Z
2020-01-08T19:39:57Z
2019
2019
https://hdl.handle.net/1721.1/123380
1132234255
Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, 2019
Cataloged from PDF version of thesis.
Includes bibliographical references (pages 23-24).
In the post-crisis period substantial attention has been placed on regulation of exposures held off balance sheet by large banks. I analyze the effect on equity holders of such regulation. While requiring banks to hold capital against their on balance sheet exposures largely doses not perturb equity holder valuation capital held against off balance sheet exposures decreases the equity claim by generating a deleveraging effect when the balance sheet is expanded. Shareholders command a premium to compensate for the change in the value of their claim leading to a deviation of prices of redundant derivative claims from their replicating portfolios. Importantly, this effect does not appear under a standard capital ratio.
by William Goulding.
S.M. in Management Research
S.M.inManagementResearch Massachusetts Institute of Technology, Sloan School of Management
34 pages
eng
Massachusetts Institute of Technology
MIT theses are protected by copyright. They may be viewed, downloaded, or printed from this source but further reproduction or distribution in any format is prohibited without written permission.
http://dspace.mit.edu/handle/1721.1/7582
Sloan School of Management.
Regulation of off-balance sheet exposures and pricing of over-the-counter derivatives
Thesis
application/pdf
2020-01-08T19:39:56Z
Publication
Master
Sloan
unknown
unknown
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