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Erscheinungsjahr: 
2018
Schriftenreihe/Nr.: 
Working Paper No. 852
Verlag: 
Queen Mary University of London, School of Economics and Finance, London
Zusammenfassung: 
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.
Schlagwörter: 
Systemic risk
default
financial networks
coordination games
central clearing
counterparty
financial regulation
JEL: 
C72
D53
D85
G21
G28
G33
Dokumentart: 
Working Paper

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