Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/56636 
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dc.contributor.authorAnand, Kartiken
dc.contributor.authorGai, Prasannaen
dc.contributor.authorKapadia, Sujiten
dc.contributor.authorBrennan, Simonen
dc.contributor.authorWillison, Matthewen
dc.date.accessioned2011-08-29-
dc.date.accessioned2012-04-05T16:12:31Z-
dc.date.available2012-04-05T16:12:31Z-
dc.date.issued2011-
dc.identifier.urihttp://hdl.handle.net/10419/56636-
dc.description.abstractWe examine the role of macroeconomic fluctuations, asset market liquidity, and network structure in determining contagion and aggregate losses in a financial system. Systemic instability is explored in a financial network comprising three distinct, but interconnected, sets of agents - domestic banks, international financial institutions, and firms. Calibrating the model to advanced country banking sector data, we obtain sensible aggregate loss distributions which are bimodal in nature. We demonstrate how systemic crises may occur and analyze how our results are influenced by firesale externalities and the feedback effects from curtailed lending in the macroeconomy. We also illustrate the resilience of our model financial system to stress scenarios with sharply rising corporate default rates and falling asset prices.en
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2011-051en
dc.subject.jelC63en
dc.subject.jelG01en
dc.subject.jelG17en
dc.subject.jelG21en
dc.subject.ddc330en
dc.subject.keywordcontagionen
dc.subject.keywordfinancial crisesen
dc.subject.keywordnetwork modelsen
dc.subject.keywordsystemic risken
dc.subject.stwFinanzmarktkriseen
dc.subject.stwAnsteckungseffekten
dc.subject.stwBankensystemen
dc.subject.stwUnternehmensnetzwerken
dc.subject.stwKonjunkturen
dc.subject.stwSystemrisikoen
dc.subject.stwTheorieen
dc.titleA network model of financial system resilience-
dc.typeWorking Paperen
dc.identifier.ppn66730164Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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