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We examine the role of macroeconomic fluctuations, asset market liquidity, and network structure in determining contagion and aggregate losses in a stylised financial system. Systemic instability is explored in a financial network comprising three distinct, but interconnected, sets of agents -...
Persistent link: https://www.econbiz.de/10010839048
direct spillovers from one bank to another: liquidity hoarding, asset price contagion, and the propagation of defaults via …
Persistent link: https://www.econbiz.de/10010839052
An individual bank can put the whole banking system at risk if its losses in response to shocks push losses for the …
Persistent link: https://www.econbiz.de/10004990657
Banks’ liquidity is a crucial determinant of the adversity of banking crises. In this paper, we consider the effect of fire sales and entry during crises on banks’ ex-ante choice of liquid asset holdings. We consider a setting with limited pledgeability of risky cash flows relative to safe...
Persistent link: https://www.econbiz.de/10005038439
We demonstrate how the introduction of liability-side feedbacks affects the properties of a quantitative model of systemic risk. The model is known as RAMSI and is still in its development phase. It is based on detailed balance sheets for UK banks and encompasses macro-credit risk, interest and...
Persistent link: https://www.econbiz.de/10009228596
The credit risk that an individual bank poses to the rest of the financial system depends on its size, the type of …
Persistent link: https://www.econbiz.de/10009358602
Systemic risk among the network of international banking groups arises when financial stress threatens to criss-cross many national boundaries and expose imperfect international co-ordination. To assess this risk, we apply an information theoretic map equation due to Martin Rosvall and Carl...
Persistent link: https://www.econbiz.de/10008863001
Structured credit instruments offer an insight into markets’ perceptions of the extent of future credit defaults. Claims of different seniorities incur losses only if defaults reach different magnitudes, so their relative value offers an insight into the likelihood of losses being of different...
Persistent link: https://www.econbiz.de/10008752795