Download the full-sized PDF of Optimal Regulation of Systemic Risk by TaxDownload the full-sized PDF



Permanent link (DOI):


Export to: EndNote  |  Zotero  |  Mendeley


This file is in the following communities:

Graduate Studies and Research, Faculty of


This file is in the following collections:

Theses and Dissertations

Optimal Regulation of Systemic Risk by Tax Open Access


Other title
Type of item
Degree grantor
University of Alberta
Author or creator
Wai, Kevin
Supervisor and department
Cadenillas, Abel (Mathematical and Statistical Sciences)
Examining committee member and department
Cadenillas, Abel (Mathematical and Statistical Sciences)
Putkaradze, Vakhtang (Mathematical and Statistical Sciences)
Frei, Christoph (Mathematical and Statistical Sciences)
Aguerrevere, Felipe (Finance and Statistical Analysis)
Department of Mathematical and Statistical Sciences
Mathematical Finance
Date accepted
Graduation date
Master of Science
Degree level
Financial systemic crisis could be broadly understood as the deterioration of the banking sector which results in damage to the real economy. From elementary accounting, a firm's financial position can be characterized by the value of its asset holdings versus the amount it borrow from others. If assets are not worth sufficiently more than the firm owes, it will be in distress, and will not be able to operate its business efficiently. In the case of a bank, this means the difference between the dollar amount it lends and the amount it receives from depositors is not sufficiently high or even worse, is negative. If either case happens to the aggregate banking sector, a systemic crisis will ensue, and there will be significant costs incurred by society. This M.Sc. thesis will concentrate on an existing economic model which incorporates the risk of systemic crisis, as defined above, at a future time. In the context of this model, a tax as a function of the banks' dollar value of investments, raised debt, and equity funding at present time will incentivize them to choose these quantities in the interest of social welfare. The thesis will provide mathematical explanations for this effect. Moreover, MATLAB codes are included to calculate the tax amounts charged to each bank when they behave in a socially optimal manner.
Permission is hereby granted to the University of Alberta Libraries to reproduce single copies of this thesis and to lend or sell such copies for private, scholarly or scientific research purposes only. Where the thesis is converted to, or otherwise made available in digital form, the University of Alberta will advise potential users of the thesis of these terms. The author reserves all other publication and other rights in association with the copyright in the thesis and, except as herein before provided, neither the thesis nor any substantial portion thereof may be printed or otherwise reproduced in any material form whatsoever without the author's prior written permission.
Citation for previous publication

File Details

Date Uploaded
Date Modified
Audit Status
Audits have not yet been run on this file.
File format: pdf (Portable Document Format)
Mime type: application/pdf
File size: 1590583
Last modified: 2015:10:12 18:50:57-06:00
Filename: Wai_Kevin_201409_MSc.pdf
Original checksum: d392aea88820605e8d72a2845742e9da
Well formed: true
Valid: true
File title: List of Figures
Page count: 144
Activity of users you follow
User Activity Date