Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/100699 
Autor:innen: 
Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
Kiel Working Paper No. 1950
Verlag: 
Kiel Institute for the World Economy (IfW), Kiel
Zusammenfassung: 
This paper proposes a stochastic model of a bipartite credit network between banks and the non-bank corporate sector that encapsulates basic stylized facts fond in comprehensive data sets for bank-firm loans for a number of countries. When performing computational experiment with this mode, we find that is shows a pronounced non-linear behavior under shock: The default of a single unit will mostly have practically no know-on effects, but might lead to an almost full-scale collapse of the entire system in a certain number of cases. The dependency of the overall outcome on firm characteristics like size or number of loans seems fuzzy. Distinguishing between contagion due to interbank credit and due to joint exposures to counterparty risk via loans to firms, the later channel appears more important for contagious spread of defaults.
Schlagwörter: 
Credit Network
Contagion
Interbank Network
JEL: 
D85
G21
D83
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
4.71 MB





Publikationen in EconStor sind urheberrechtlich geschützt.