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dc.contributor.authorHübsch, Arnden_US
dc.contributor.authorWalther, Ursulaen_US
dc.date.accessioned2012-04-10en_US
dc.date.accessioned2012-04-18T09:18:02Z-
dc.date.available2012-04-18T09:18:02Z-
dc.date.issued2012en_US
dc.identifier.urihttp://hdl.handle.net/10419/57178-
dc.description.abstractThis work extends the contagion model introduced by Nier et al. (2007) to inhomogeneous networks. We preserve the convenient description of a financial system by a sparsely parameterized random graph but add several relevant inhomogeneities, namely well-connected banks, financial institutions with disproportionately large interbank assets, and big banks focusing on wholesale and retail customers. These extensions significantly enhance the model's generality as they reflect inhomogeneities as found in reality with a potentially decisive impact on system stability. Whereas well-connected banks and big retail banks have only a surprisingly modest impact, we find a significantly enhanced contagion risk in networks containing institutions with disproportionately large interbank assets. Moreover, we show that these effects can be partly compensated by a suitable regulatory response which demands additional net worth buffers for banks with above average volume of interbank assets. The stabilising effect is most notably achieved by a pure redistribution of equity capital without increasing its total amount.en_US
dc.language.isoengen_US
dc.publisherFrankfurt School of Finance & Management Frankfurt/M.en_US
dc.relation.ispartofseriesCPQF Working Paper Series 32en_US
dc.subject.jelC63en_US
dc.subject.jelG21en_US
dc.subject.jelG28en_US
dc.subject.ddc330en_US
dc.subject.keywordcapital buffersen_US
dc.subject.keywordcontagionen_US
dc.subject.keywordcontagious defaultsen_US
dc.subject.keywordinhomogeneitiesen_US
dc.subject.keywordnetwork modelsen_US
dc.subject.keywordfinancial system stabilityen_US
dc.titleThe impact of network inhomogeneities on contagion and system stabilityen_US
dc.typeWorking Paperen_US
dc.identifier.ppn689912862en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cpqfwp:32-
Appears in Collections:CPQF Working Paper Series, Frankfurt School of Finance and Management

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