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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/56636
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Anand, Kartik | | en_US |
| dc.contributor.author | | Gai, Prasanna | | en_US |
| dc.contributor.author | | Kapadia, Sujit | | en_US |
| dc.contributor.author | | Brennan, Simon | | en_US |
| dc.contributor.author | | Willison, Matthew | | en_US |
| dc.date.accessioned | | 2011-08-29 | | en_US |
| dc.date.accessioned | | 2012-04-05T16:12:31Z | | - |
| dc.date.available | | 2012-04-05T16:12:31Z | | - |
| dc.date.issued | | 2011 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/56636 | | - |
| dc.description.abstract | | We examine the role of macroeconomic fluctuations, asset market liquidity, and network structure in determining contagion and aggregate losses in a financial system. Systemic instability is explored in a financial network comprising three distinct, but interconnected, sets of agents - domestic banks, international financial institutions, and firms. Calibrating the model to advanced country banking sector data, we obtain sensible aggregate loss distributions which are bimodal in nature. We demonstrate how systemic crises may occur and analyze how our results are influenced by firesale externalities and the feedback effects from curtailed lending in the macroeconomy. We also illustrate the resilience of our model financial system to stress scenarios with sharply rising corporate default rates and falling asset prices. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | SFB 649, Economic Risk Berlin | | en_US |
| dc.relation.ispartofseries | | SFB 649 discussion paper 2011-051 | | en_US |
| dc.subject.jel | | C63 | | en_US |
| dc.subject.jel | | G01 | | en_US |
| dc.subject.jel | | G17 | | en_US |
| dc.subject.jel | | G21 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | contagion | | en_US |
| dc.subject.keyword | | financial crises | | en_US |
| dc.subject.keyword | | network models | | en_US |
| dc.subject.keyword | | systemic risk | | en_US |
| dc.subject.stw | | Finanzmarktkrise | | en_US |
| dc.subject.stw | | Ansteckungseffekt | | en_US |
| dc.subject.stw | | Bankensystem | | en_US |
| dc.subject.stw | | Unternehmensnetzwerk | | en_US |
| dc.subject.stw | | Konjunktur | | en_US |
| dc.subject.stw | | Systemrisiko | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | A network model of financial system resilience | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 66730164X | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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