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2011-08-12Buch DOI: 10.18452/4339
A Network Model of Financial System Resilience
dc.contributor.authorAnand, Kartik
dc.contributor.authorGai, Prasanna
dc.contributor.authorKapadia, Sujit
dc.contributor.authorBrennan, Simon
dc.contributor.authorWillison, Matthew
dc.date.accessioned2017-06-16T00:26:11Z
dc.date.available2017-06-16T00:26:11Z
dc.date.created2011-08-17
dc.date.issued2011-08-12
dc.date.submitted2011-08-12
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4991
dc.description.abstractWe examine the role of macroeconomic fluctuations, asset market liquidity, and network structure in determining contagion and aggregate losses in a financial system. Systemic instability is explored in a financial network comprising three distinct, but interconnected, sets of agents – domestic banks, international financial institutions, and firms. Calibrating the model to advanced country banking sector data, we obtain sensible aggregate loss distributions which are bimodal in nature. We demonstrate how systemic crises may occur and analyze how our results are influenced by firesale externalities and the feedback effects from curtailed lending in the macroeconomy. We also illustrate the resilience of our model financial system to stress scenarios with sharply rising corporate default rates and falling asset prices.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectContagioneng
dc.subjectFinancial criseseng
dc.subjectNetwork models Systemic riskeng
dc.subject.ddc330 Wirtschaft
dc.titleA Network Model of Financial System Resilience
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100190995
dc.identifier.doihttp://dx.doi.org/10.18452/4339
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages42
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2011
local.edoc.container-issue51
local.edoc.container-year2011
local.edoc.container-erstkatid2195055-6

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