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A Network Model of Financial System Resilience
Anand, Kartik; Gai, Prasanna; Kapadia, Sujit; Brennan, Simon - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
contagion and aggregate losses in a financial system. Systemic instability is explored in a financial network comprising three …
Persistent link: https://www.econbiz.de/10009220201
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Funding liquidity risk in a quantitative model of systemic stability
Aikman, David; Alessandri, Piergiorgio; Eklund, Bruno; … - Bank of England - 2009
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
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A network model of financial system resilience
Anand, Kartik; Gai, Prasanna; Kapadia, Sujit; Brennan, Simon - Bank of England - 2012
contagion and aggregate losses in a stylised financial system. Systemic instability is explored in a financial network …
Persistent link: https://www.econbiz.de/10010839048
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Size and complexity in model financial systems
Arinaminpathy, Nimalan; Kapadia, Sujit; May, Robert - Bank of England - 2012
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
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Contagion in financial networks
Gai, Prasanna; Kapadia, Sujit - Bank of England - 2010
This paper develops an analytical model of contagion in financial networks with arbitrary structure. We explore how the … probability and potential impact of contagion is influenced by aggregate and idiosyncratic shocks, changes in network structure … probability of contagion may be low, the effects can be extremely widespread when problems occur. And we suggest why the …
Persistent link: https://www.econbiz.de/10010704384
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Liquidity risk, cash-flow constraints and systemic feedbacks
Kapadia, Sujit; Drehmann, Mathias; Elliott, John; … - Bank of England - 2012
which these channels of contagion operate, and conduct illustrative simulations to show how liquidity feedbacks may markedly …
Persistent link: https://www.econbiz.de/10010704394
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A network model of financial system resilience
Anand, Kartik; Gai, Prasanna; Kapadia, Sujit; Brennan, Simon - In: Journal of Economic Behavior & Organization 85 (2013) C, pp. 219-235
contagion and aggregate losses in a stylized financial system. Systemic instability is explored in a financial network …
Persistent link: https://www.econbiz.de/10010608201
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A network model of financial system resilience
Anand, Kartik; Gai, Prasanna; Kapadia, Sujit; Brennan, Simon - 2011
contagion and aggregate losses in a financial system. Systemic instability is explored in a financial network comprising three …
Persistent link: https://www.econbiz.de/10010281490
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Size and complexity in model financial systems
Arinaminpathy, Nimalan; Kapadia, Sujit; May, Robert - 2012
Persistent link: https://www.econbiz.de/10009671779
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A network model of financial system resilience
Anand, Kartik; Gai, Prasanna; Kapadia, Sujit; Brennan, Simon - 2012
Persistent link: https://www.econbiz.de/10009619091