Contagion in Financial Networks: A Threat Index
نویسندگان
چکیده
منابع مشابه
Contagion in Financial Networks: A Threat Index
Interbank claims are a concern to regulators as they might facilitate the dissemination of defaults and generate spill-over effects. Building on a simple model, this paper introduces a measure of the spill-over effects that a bank generates when it defaults. The measure is based on an explicit criterion, the aggregate debt repayments, and is bank’s specific, affected by the bank’s characteristi...
متن کاملContagion in Financial Networks
A the many factors contributing to the financial crisis of 2007–08, the role of the growing interconnectedness of the global financial system is perhaps the least understood. The crisis exposed the fact that regulators and market participants had very limited information about the network of obligations between financial institutions. It also revealed that there was little theoretical understan...
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We model contagions and cascades of failures among organizations linked through a network of financial interdependencies. We identify how the network propagates discontinuous changes in asset values triggered by failures (e.g., bankruptcies, defaults, and other insolvencies) and use that to study the consequences of integration (each organization becoming more dependent on its counterparties) a...
متن کاملHow likely is contagion in financial networks?
Interconnections among financial institutions create potential channels for contagion and amplification of shocks to the financial system. We estimate the extent to which interconnections increase expected losses and defaults under a wide range of shock distributions. In contrast to most work on financial networks, we assume only minimal information about network structure and rely instead on i...
متن کاملOnline Appendix: Financial Networks and Contagion
In this section, we present a three-organization example to illustrate more about how the A and the C matrices can differ. Recall our simple example from Section IG (see Figure 1). There are two organizations, i = 1, 2, each of which has a 50% stake in the other organization. The associated crossholdings matrix C and the dependency matrix A are as follows. (Recall that Ĉii is equal to 1 minus t...
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ژورنال
عنوان ژورنال: Management Science
سال: 2018
ISSN: 0025-1909,1526-5501
DOI: 10.1287/mnsc.2016.2592