Showing 1 - 10 of 27,178
Systemic risk is a fundamental constituent of contemporary financial systems. For the past decades a growing number of abrupt upsets in financial systems could be observed. Due to previous experiences, politicians and regulators prefer to identify the off enders outside the system or to blame...
Persistent link: https://www.econbiz.de/10011616783
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/10010509633
We introduce a novel simulation-based network approach, which provides full-edged distributions of potential interbank losses. Based on those distributions we propose measures for (i) systemic importance of single banks, (ii) vulnerability of single banks, and (iii) vulnerability of the whole...
Persistent link: https://www.econbiz.de/10012201789
The recent financial crisis proved that financial contagion could spread among countries resulting in disruptive effects. In this paper, by modeling and simulating banking system behavior and linkages across countries, we assess, based on data from the BIS and IMF, the possible outcome of...
Persistent link: https://www.econbiz.de/10012626421
This paper puts forward a novel approach to the analysis of direct contagion in financial networks. Financial systems are here represented as flow networks -i.e., directed and weighted graphs endowed with source nodes and sink nodes – and the propagation of losses and defaults, originated by...
Persistent link: https://www.econbiz.de/10009778478
We propose a new theory of systemic risk based on Knightian uncertainty (or "ambiguity"). We show that, due to …
Persistent link: https://www.econbiz.de/10013005701
In this paper we gauge the degree of interconnectedness and quantify the linkages between global and other systemically important institutions, and the global financial system. We document that the two groups and the financial system become more interconnected during the global financial crisis...
Persistent link: https://www.econbiz.de/10012219367
simulations to propagate shocks emerging from three sources of systemic risk: interbank, asset price, and sovereign credit risk … the dominance of the sovereign credit risk channel amplifies, as the primary source of financial contagion in the banking …
Persistent link: https://www.econbiz.de/10012972798
Persistent link: https://www.econbiz.de/10013365316
Persistent link: https://www.econbiz.de/10010509515