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dc.contributor.authorAnand, Kartiken_US
dc.contributor.authorGai, Prasannaen_US
dc.contributor.authorKapadia, Sujiten_US
dc.contributor.authorBrennan, Simonen_US
dc.contributor.authorWillison, Matthewen_US
dc.date.accessioned2011-08-29en_US
dc.date.accessioned2012-04-05T16:12:31Z-
dc.date.available2012-04-05T16:12:31Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/56636-
dc.description.abstractWe 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.isoengen_US
dc.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2011-051en_US
dc.subject.jelC63en_US
dc.subject.jelG01en_US
dc.subject.jelG17en_US
dc.subject.jelG21en_US
dc.subject.ddc330en_US
dc.subject.keywordcontagionen_US
dc.subject.keywordfinancial crisesen_US
dc.subject.keywordnetwork modelsen_US
dc.subject.keywordsystemic risken_US
dc.subject.stwFinanzmarktkriseen_US
dc.subject.stwAnsteckungseffekten_US
dc.subject.stwBankensystemen_US
dc.subject.stwUnternehmensnetzwerken_US
dc.subject.stwKonjunkturen_US
dc.subject.stwSystemrisikoen_US
dc.subject.stwTheorieen_US
dc.titleA network model of financial system resilienceen_US
dc.typeWorking Paperen_US
dc.identifier.ppn66730164Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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