Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/184803
Authors: 
Allouch, Nizar
Jalloul, Maya
Year of Publication: 
2018
Series/Report no.: 
Working Paper 852
Abstract: 
This paper investigates a model of strategic interactions in financial networks, where the decision by one agent on whether or not to default impacts the incentives of other agents to escape default. Agents' payoffs are determined by the clearing mechanism introduced in the seminal contribution of Eisenberg and Noe (2001). We first show the existence of a Nash equilibrium of this default game. Next, we develop an algorithm to find all Nash equilibria that relies on the financial network structure. Finally, we explore some policy implications to achieve efficient coordination.
Subjects: 
Systemic risk
default
financial networks
coordination games
central clearing
counterparty
financial regulation
JEL: 
C72
D53
D85
G21
G28
G33
Document Type: 
Working Paper
Social Media Mentions:

Files in This Item:
File
Size
380.98 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.