Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/57342 
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dc.contributor.authorBluhm, Marcelen
dc.contributor.authorKrahnen, Jan Pieteren
dc.date.accessioned2011-09-12-
dc.date.accessioned2012-04-20T17:08:49Z-
dc.date.available2012-04-20T17:08:49Z-
dc.date.issued2011-
dc.identifier.piurn:nbn:de:hebis:30-115350en
dc.identifier.urihttp://hdl.handle.net/10419/57342-
dc.description.abstractThis paper analyzes the emergence of systemic risk in a network model of interconnected bank balance sheets. Given a shock to asset values of one or several banks, systemic risk in the form of multiple bank defaults depends on the strength of balance sheets and asset market liquidity. The price of bank assets on the secondary market is endogenous in the model, thereby relating funding liquidity to expected solvency - an important stylized fact of banking crises. Based on the concept of a system value at risk, Shapley values are used to define the systemic risk charge levied upon individual banks. Using a parallelized simulated annealing algorithm the properties of an optimal charge are derived. Among other things we find that there is not necessarily a correspondence between a bank's contribution to systemic risk - which determines its risk charge - and the capital that is optimally injected into it to make the financial system more resilient to systemic risk. The analysis has policy implications for the design of optimal bank levies.en
dc.language.isoengen
dc.publisher|aGoethe University Frankfurt, Center for Financial Studies (CFS) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCFS Working Paper |x2011/19en
dc.subject.jelG01en
dc.subject.jelG18en
dc.subject.jelG33en
dc.subject.ddc330en
dc.subject.keywordSystemic Risken
dc.subject.keywordSystemic Risk Chargeen
dc.subject.keywordSystemic Risk Funden
dc.subject.keywordMacroprudential Supervisionen
dc.subject.keywordShapley Valueen
dc.subject.keywordFinancial Networken
dc.subject.stwBankbilanzen
dc.subject.stwBilanzstrukturmanagementen
dc.subject.stwUnternehmensnetzwerken
dc.subject.stwSystemrisikoen
dc.subject.stwBankenkriseen
dc.subject.stwBankinsolvenzen
dc.subject.stwShapley-Werten
dc.subject.stwFinanzmarkten
dc.subject.stwMarktliquiditäten
dc.subject.stwTheorieen
dc.titleDefault risk in an interconnected banking system with endogeneous asset markets-
dc.typeWorking Paperen
dc.identifier.ppn668115955en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfswop:201119en

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