Details
| Originalsprache | Englisch |
|---|---|
| Aufsatznummer | 9 |
| Fachzeitschrift | Probability, Uncertainty and Quantitative Risk |
| Jahrgang | 2 |
| Publikationsstatus | Veröffentlicht - Juni 2017 |
Abstract
The paper presents a comprehensive model of a banking system that inte-grates network effects, bankruptcy costs, fire sales, and cross-holdings. For the integrated financial market we prove the existence of a price-payment equilibrium and design an algorithm for the computation of the greatest and the least equilibrium. The number of defaults corresponding to the greatest price-payment equilibrium is analyzed in several comparative case studies. These illustrate the individual and joint impact of interbank liabilities, bankruptcy costs, fire sales and cross-holdings on systemic risk. We study policy implications and regulatory instruments, including central bank guarantees and quantitative easing, the significance of last wills of financial institutions, and capital requirements.
ASJC Scopus Sachgebiete
- Mathematik (insg.)
- Statistik und Wahrscheinlichkeit
- Mathematik (insg.)
- Angewandte Mathematik
- Entscheidungswissenschaften (insg.)
- Statistik, Wahrscheinlichkeit und Ungewissheit
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in: Probability, Uncertainty and Quantitative Risk, Jahrgang 2, 9, 06.2017.
Publikation: Beitrag in Fachzeitschrift › Artikel › Forschung › Peer-Review
}
TY - JOUR
T1 - The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks
AU - Weber, Stefan
AU - Weske, Kerstin
N1 - Publisher Copyright: © The Author(s). 2017.
PY - 2017/6
Y1 - 2017/6
N2 - The paper presents a comprehensive model of a banking system that inte-grates network effects, bankruptcy costs, fire sales, and cross-holdings. For the integrated financial market we prove the existence of a price-payment equilibrium and design an algorithm for the computation of the greatest and the least equilibrium. The number of defaults corresponding to the greatest price-payment equilibrium is analyzed in several comparative case studies. These illustrate the individual and joint impact of interbank liabilities, bankruptcy costs, fire sales and cross-holdings on systemic risk. We study policy implications and regulatory instruments, including central bank guarantees and quantitative easing, the significance of last wills of financial institutions, and capital requirements.
AB - The paper presents a comprehensive model of a banking system that inte-grates network effects, bankruptcy costs, fire sales, and cross-holdings. For the integrated financial market we prove the existence of a price-payment equilibrium and design an algorithm for the computation of the greatest and the least equilibrium. The number of defaults corresponding to the greatest price-payment equilibrium is analyzed in several comparative case studies. These illustrate the individual and joint impact of interbank liabilities, bankruptcy costs, fire sales and cross-holdings on systemic risk. We study policy implications and regulatory instruments, including central bank guarantees and quantitative easing, the significance of last wills of financial institutions, and capital requirements.
KW - Bankruptcy costs
KW - Cross-holdings
KW - Financial contagion
KW - Financial network
KW - Fire sales
KW - Systemic risk
UR - http://www.scopus.com/inward/record.url?scp=85041570307&partnerID=8YFLogxK
U2 - 10.1186/s41546-017-0020-9
DO - 10.1186/s41546-017-0020-9
M3 - Article
VL - 2
JO - Probability, Uncertainty and Quantitative Risk
JF - Probability, Uncertainty and Quantitative Risk
SN - 2367-0126
M1 - 9
ER -