Le paradoxe du contrôle dans les systèmes bancaires : homogénéité des contraintes prudentielles, duration commune et corrélation des ajustements de bilan

Chevalier, Alexis (2026): Le paradoxe du contrôle dans les systèmes bancaires : homogénéité des contraintes prudentielles, duration commune et corrélation des ajustements de bilan.

Abstract

Complex systems exhibit a counter-intuitive property: excessive control of ordinary disturbances and homogenisation of constraints tend to concentrate fragility and amplify extreme events. This paper applies this insight to banking systems. It argues that greater similarity in binding prudential constraints across banks, combined with similar duration gaps (Macaulay or effective), is associated with higher conditional correlation of balance-sheet adjustments under stress—particularly interest-rate shocks.

The hypothesis is motivated by analogies from wildfire suppression and antibiotic resistance, by the 2008 Fortis resolution, and by the 2023 US regional banking stress (SVB, Signature, First Republic). The paper provides a micro-foundation using constrained optimisation (Lagrangian and Kuhn-Tucker conditions) that includes balance-sheet equilibrium, prudential constraints and a duration-gap condition. When constraints and duration exposures are common across banks, the bordered Hessians become similar, producing correlated reactions to a common shock.

An index of systemic correlation is proposed. The analysis then contrasts this regime with one in which banks can choose their own coverage ratios, issue distinct deposit instruments, and set their own interest rates, thereby constructing more independent duration profiles and reducing conditional correlation. The contribution is conceptual: it isolates the channel running from similarity of binding constraints and duration gaps to correlated balance-sheet reactions.

• Item Type: MPRA Paper
• English Title: The Control Paradox in Banking Systems: Homogeneity of Prudential Constraints, Common Duration and Correlation of Balance-Sheet Adjustments
• Language: French
• Keywords: systemic risk; banking regulation; prudential constraints; duration gap; balance-sheet correlation; complex systems; robust-yet-fragile; constrained optimisation; fire sales; antifragility
• Subjects: C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis; D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D85 - Network Formation and Analysis: Theory; E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E58 - Central Banks and Their Policies; G - Financial Economics > G0 - General > G01 - Financial Crises; G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages; G - Financial Economics > G2 - Financial Institutions and Services > G28 - Government Policy and Regulation

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