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dc.contributor.authorBluhm, Marcelen_US
dc.contributor.authorKrahnen, Jan Pieteren_US
dc.date.accessioned2011-09-12en_US
dc.date.accessioned2012-04-20T17:08:49Z-
dc.date.available2012-04-20T17:08:49Z-
dc.date.issued2011en_US
dc.identifier.piurn:nbn:de:hebis:30-115350en_US
dc.identifier.urihttp://hdl.handle.net/10419/57342-
dc.description.abstractThis 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, thereby relating funding liquidity to expected solvency - an important stylized fact of banking crises. Based on the concept of a system value at risk, Shapley values are used to define the systemic risk charge levied upon individual banks. Using a parallelized simulated annealing algorithm the properties of an optimal charge are derived. Among other things we find that there is not necessarily a correspondence between a bank's contribution to systemic risk - which determines its risk charge - and the capital that is optimally injected into it to make the financial system more resilient to systemic risk. The analysis has policy implications for the design of optimal bank levies.en_US
dc.language.isoengen_US
dc.publisherCenter for Financial Studies Frankfurt, Mainen_US
dc.relation.ispartofseriesCFS Working Paper 2011/19en_US
dc.subject.jelG01en_US
dc.subject.jelG18en_US
dc.subject.jelG33en_US
dc.subject.ddc330en_US
dc.subject.keywordSystemic Risken_US
dc.subject.keywordSystemic Risk Chargeen_US
dc.subject.keywordSystemic Risk Funden_US
dc.subject.keywordMacroprudential Supervisionen_US
dc.subject.keywordShapley Valueen_US
dc.subject.keywordFinancial Networken_US
dc.subject.stwBankbilanzen_US
dc.subject.stwBilanzstrukturmanagementen_US
dc.subject.stwUnternehmensnetzwerken_US
dc.subject.stwSystemrisikoen_US
dc.subject.stwBankenkriseen_US
dc.subject.stwBankinsolvenzen_US
dc.subject.stwShapley-Werten_US
dc.subject.stwFinanzmarkten_US
dc.subject.stwMarktliquiditäten_US
dc.subject.stwTheorieen_US
dc.titleDefault risk in an interconnected banking system with endogeneous asset marketsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn668115955en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfswop:201119-
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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