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Decentralized clearing in financial networks

Csóka, Péter; Herings, P.Jean-Jacques - 2016

We consider a situation in which agents have mutual claims on each other, summarized in a liability matrix. Agents' assets might be insufficient to satisfy their liabilities leading to defaults. We assume the primitives to be denoted in some unit of account. In case of default, bankruptcy rules...

Persistent link: https://www.econbiz.de/10011451121

Actuarial and financial risk management in networks

Awiszus, Kerstin - 2020

Persistent link: https://www.econbiz.de/10012308651

Decentralized clearing in financial networks

Csóka, Péter; Herings, Peter Jean-Jacques - 2016 - RM/16/005-revised-

Persistent link: https://www.econbiz.de/10011567187

Collateral unchained : rehypothecation networks, concentration and systemic effects

Luu, Duc Thi; Napoletano, Mauro; Barucca, Paolo; … - 2018

collateral flows are concentrated among few nodes (like in core-periphery networks) allow large increases in collateral volumes … Value-at-Risk (VaR) criterion, and we then study the emergence of collateral hoarding cascades in different networks. Our … hoarding cascades following local shocks. These networks are therefore characterized by a trade-off between liquidity and …

Persistent link: https://www.econbiz.de/10011805957

Decomposing systemic risk : the roles of contagion and common exposures

Hałaj, Grzegorz; Hipp, Ruben - 2024

We evaluate the effects of contagion and common exposure on banks' capital through a regression design inspired by the structural VAR literature and derived from the balance sheet identity. Contagion can occur through direct exposures, fire sales, and market-based sentiment, while common...