This paper analyzes the emergence of systemic risk in a network model of interconnected bank balance sheets. Given a shock to asset values of one or several banks, systemic risk in the form of multiple bank defaults depends on the strength of balance sheets and asset market liquidity. The price of bank assets on the secondary market is endogenous in the model, thereby relating funding liquidity to ...
| Year of publication: |
2011-09-14
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| Authors: | Bluhm, Marcel ; Krahnen, Jan Pieter |
| Institutions: | Center for Financial Studies |
| Subject: | Systemic Risk | Systemic Risk Charge | Systemic Risk Fund | Macroprudential Supervision | Shapley Value | Financial Network |
| Extent: | application/pdf |
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| Series: | |
| Type of publication: | Book / Working Paper |
| Notes: | Number 2011/19 63 pages |
| Classification: | G18 - Government Policy and Regulation ; G33 - Bankruptcy; Liquidation |
| Source: |
Persistent link: https://www.econbiz.de/10009293135