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Bougheas, Spiros - 2017

that the completely connected network is stable, although, its exact structure, and thus contagion implications, is …

Persistent link: https://www.econbiz.de/10012944880

Bank Networks : Contagion, Systemic Risk and Prudential Policy

Aldasoro, Iñaki - 2015

We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest … sale externalities. The resulting network configurations exhibits a core-periphery structure, dis-assortative behavior and … low clustering coefficient. We measure systemic importance by means of network centrality and input-output metrics and the …

Persistent link: https://www.econbiz.de/10013028909

Contagion in Financial Networks : A Threat Index

Demange, Gabrielle - 2015

Interbank claims are a concern to regulators as they might facilitate the dissemination of defaults and generate spill-over effects. Building on a simple model, this paper introduces a measure of the spill-over effects that a bank generates when it defaults. The measure is based on an explicit...

Persistent link: https://www.econbiz.de/10013023198

Bank Bailouts, International Linkages and Cooperation

Niepmann, Friederike - 2011

Financial institutions are increasingly linked internationally. As a result, financial crisis and government intervention have stronger effects beyond borders. We provide a model of international contagion allowing for bank bailouts. While a social planner trades off tax distortions, liquidation...

Persistent link: https://www.econbiz.de/10013128043

Risk-Sharing and Contagion in Networks

Cabrales, Antonio - 2014

We investigate the trade-off between the risk-sharing gains enjoyed by more interconnected firms and the costs resulting from an increased risk exposure. We find that when the shock distribution displays “fat” tails, extreme segmentation into small components is optimal, while minimal...

Persistent link: https://www.econbiz.de/10013055377

Complex Financial Networks and Systemic Risk : A Review

Bougheas, Spiros - 2014

review is on studies that use network analysis paying special attention to those that apply complex analysis techniques …

Persistent link: https://www.econbiz.de/10013054029

Analyzing Systemic Risk in the Chinese Banking System

Huang, Qiubin - 2015

We examine systemic risk in the Chinese banking system by estimating the conditional value at risk (CoVaR), the marginal expected shortfall (MES), the systemic impact index (SII) and the vulnerability index (VI) for 16 listed banks in China. Although these measures show different patterns, our...

Persistent link: https://www.econbiz.de/10013013708

Financial Contagion and the European Debt Crisis

Missio, Sebastian - 2013

Since the beginning of 2010, the Euro Area faces a severe sovereign debt crisis, now generally known as the Euro Crisis. While the Euro Crisis has its origin in Greece, problems have now spread to several other European countries as well. Dynamic conditional correlation models (DCC) are...

Persistent link: https://www.econbiz.de/10013092476

Contagion in Financial Networks: A Threat Index

Demange, Gabrielle - CESifo - 2015

Persistent link: https://www.econbiz.de/10011257674

Time-Varying Exchange Rate Basket in China from 2005 to 2009

Fidrmuc, Jarko - 2013

We use the Kalman filter to estimate the structure of the secret currency basket of the renminbi based on daily data between 2005 and 2009. The currency weights of selected currencies are modeled as stochastic processes (random walks). The official announcement of the new exchange rate regime in...

Persistent link: https://www.econbiz.de/10013094429

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