Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/57178 
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dc.contributor.authorHübsch, Arnden
dc.contributor.authorWalther, Ursulaen
dc.date.accessioned2012-04-10-
dc.date.accessioned2012-04-18T09:18:02Z-
dc.date.available2012-04-18T09:18:02Z-
dc.date.issued2012-
dc.identifier.urihttp://hdl.handle.net/10419/57178-
dc.description.abstractThis work extends the contagion model introduced by Nier et al. (2007) to inhomogeneous networks. We preserve the convenient description of a financial system by a sparsely parameterized random graph but add several relevant inhomogeneities, namely well-connected banks, financial institutions with disproportionately large interbank assets, and big banks focusing on wholesale and retail customers. These extensions significantly enhance the model's generality as they reflect inhomogeneities as found in reality with a potentially decisive impact on system stability. Whereas well-connected banks and big retail banks have only a surprisingly modest impact, we find a significantly enhanced contagion risk in networks containing institutions with disproportionately large interbank assets. Moreover, we show that these effects can be partly compensated by a suitable regulatory response which demands additional net worth buffers for banks with above average volume of interbank assets. The stabilising effect is most notably achieved by a pure redistribution of equity capital without increasing its total amount.en
dc.language.isoengen
dc.publisher|aFrankfurt School of Finance & Management, Centre for Practical Quantitative Finance (CPQF) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCPQF Working Paper Series |x32en
dc.subject.jelC63en
dc.subject.jelG21en
dc.subject.jelG28en
dc.subject.ddc330en
dc.subject.keywordcapital buffersen
dc.subject.keywordcontagionen
dc.subject.keywordcontagious defaultsen
dc.subject.keywordinhomogeneitiesen
dc.subject.keywordnetwork modelsen
dc.subject.keywordfinancial system stabilityen
dc.titleThe impact of network inhomogeneities on contagion and system stability-
dc.typeWorking Paperen
dc.identifier.ppn689912862en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cpqfwp:32en

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