Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/203268
Authors: 
Bluhm, Marcel
Faia, Ester
Krahnen, Jan Pieter
Year of Publication: 
2014
Series/Report no.: 
SAFE Working Paper 12
Abstract: 
We develop a network model whose links are governed by banks' optmizing decisions and by an endogenous tâtonnement market adjustment. Banks in our model can default and engage in re-sales: risk is transmitted through direct and cascading counterparty defaults as well as through indirect pecuniary externalities triggered by re-sales. We use the model to assess the evolution of the network configuration under various prudential policy regimes, to measure banks' contribution to systemic risk (through Shapley values) in response to shocks, and to analyze the effects of systemic risk charges. We complement the analysis by introducing the possibility of central bank liquidity provision.
Subjects: 
Network formation
tâtonnement
contagion
JEL: 
C63
D85
G01
G28
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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