Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/102271 
Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
FinMaP-Working Paper No. 8
Verlag: 
Kiel University, FinMaP - Financial Distortions and Macroeconomic Performance, Kiel
Zusammenfassung: 
Banks have become increasingly interconnected via interbank credit and other forms of liabilities. As a consequence of the increased interconnectedness, the failure of one node in the interbank network might constitute a threat to the survival of large parts of the entire system. How important this effect of "too-big-too-fail" and "too-interconnected-too-fail" is, depends on the exact topology of the network on which the supervisory authorities have typically very incomplete knowledge. We propose a probabilistic model to combine some important known quantities (like the size of the banks) with a realistic stochastic representation of the remaining structural elements. Our approach allows us to evaluate relevant measures for the contagion after default of one unit (i.e. number of expected subsequent defaults, or their probabilities). For some quantities we are able to derive closed form solutions, others can be obtained via computational mean-field approximations.
Schlagwörter: 
contagion
interbank market
network models
JEL: 
D85
G21
D83
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
1.25 MB





Publikationen in EconStor sind urheberrechtlich geschützt.