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Simulating fire sales in a system of banks and asset managers

Calimani, Susanna; Hałaj, Grzegorz; Żochowski, Dawid - 2020

We develop an agent-based model of traditional banks and asset managers to investigate the contagion risk related to fire sales and balance sheet interactions. We take a structural approach to the price formation in fire sales as in Bluhm et al. (2014) and introduce a market clearing mechanism...

Persistent link: https://www.econbiz.de/10012163949

Systemic effects of bank equity issues : competition, stabilization and contagion

Dinger, Valeriya; Marincas, Vlad; Vallascas, Francesco - 2018

We evaluate the abnormal returns of issuing and non-issuing banks around the announcement of Seasoned Equity Offerings (SEOs) and explore how the market reaction is influenced by aggregate systemic conditions and by the systemic risk contribution and exposure of banks. While we find evidence of...

Persistent link: https://www.econbiz.de/10011791471

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...

Persistent link: https://www.econbiz.de/10014527066

Bank Networks : Contagion, Systemic Risk and Prudential Policy

Aldasoro, Iñaki - 2016

We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest in non-liquid assets. Market clearing takes place through a tâtonnement process which yields the equilibrium price, while traded quantities are determined by means of an...

Persistent link: https://www.econbiz.de/10012977191

Robust-less-fragile : tackling systemic risk and financial contagion in a macro agent-based model

Pallante, Gianluca; Guerini, Mattia; Napoletano, Mauro; … - 2024

We extend the Schumpeter meeting Keynes (K+S; see Dosi et al., 2010, 2013, 2015) to model the emergence and the dynamics of an interbank network in the money market. The extended model allows banks to directly exchange funds, while evaluating their interbank positions using a network- based...

Persistent link: https://www.econbiz.de/10014500985

Information contagion and systemic risk

Ahnert, Toni; Georg, Co-Pierre - 2017

We examine the effect of ex-post information contagion on the ex-ante level of systemic risk defined as the probability of joint bank default. Because of counterparty risk or common exposures, bad news about one bank reveals valuable information about another bank, triggering information...

Persistent link: https://www.econbiz.de/10011686636

Uncertainty Aversion and Systemic Risk

Dicks, David L. - 2016

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

Cocos, Contagion and Systemic Risk

Chan, Stephanie - 2014

CoCo's (contingent convertible capital) are designed to convert from debt to equity when banks need it most. Using a Diamond-Dybvig model cast in a global games framework, we show that while the CoCo conversion of the issuing bank may bring the bank back into compliance with capital...

Persistent link: https://www.econbiz.de/10013048796

Systemic Risk, Interbank Market Contagion, and the Lender of Last Resort Function

Bowe, Michael - 2017

credit supply reduction as the key factors influencing the design of financial stability policy. Model simulations indicate …

Persistent link: https://www.econbiz.de/10012969580

Rollover risk, network structure and systemic financial crises

Anand, Kartik; Gai, Prasanna; Marsili, Matteo - 2011

a sharp transition from a dense network of credit relations to a sparse network where credit freezes readily occur are … characterized. Our results also emphasize the role of hysteresis - once broken, credit relations take a long time to re-establish as … during and after the crisis. -- interbank networks ; credit crisis ; liquidity freeze …

Persistent link: https://www.econbiz.de/10009266874