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This paper analyzes the welfare implications of mandatory disclosure of losses at financial institutions when it is common knowledge that some banks have incurred losses but not which ones. We develop a model that features contagion, meaning that banks not hit by shocks may still suffer losses...
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Central Bank (ECB) and Swiss National Bank (SNB) on the exchange rate's distribution. The empirical setup examines the price …
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This paper analyzes the emergence of systemic risk in a network model of interconnected bank balance sheets. Given a … shock to asset values of one or several banks, systemic risk in the form of multiple bank defaults depends on the strength … of balance sheets and asset market liquidity. The price of bank assets on the secondary market is endogenous in the model …
Persistent link: https://www.econbiz.de/10009295542
simulating the model. We find that the empirically observable log-normal distribution of bank balance sheet size naturally …
Persistent link: https://www.econbiz.de/10009565743