منابع مشابه
Asset-based Contagion Models for Systemic Risk∗
We develop a structural model for the analysis of systemic risk in financial markets based on asset price contagion. Specifically, we describe a mechanism of contagion where exogenous random shocks to individual agents in an economy force portfolio rebalancing and endogenously impact asset prices. This, in turn, creates a chain reaction as downstream agents trade in reaction to price changes. I...
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The recent crisis has highlighted the crucial role that existing linkages among banks and financial institutions plays in channeling and amplifying shocks hitting the system. The structure and evolution of such web of linkages can be fruitfully characterized using concepts borrowed from the theory of (complex) networks. This paper critically surveys recent theoretical work that exploits this co...
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This paper explores liquidity risk in a system of interconnected financial institutions when these institutions are subject to regulatory solvency constraints and mark their assets to market. When the market’s demand for illiquid assets is less than perfectly elastic, sales by distressed institutions depress the market prices of such assets. Marking to market of the asset book can induce a furt...
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Individuals derive benefits from their connections, but these may, at the same time, transmit external threats. Individuals therefore invest in security to protect themselves. However, the incentives to invest in security depend on their network exposures. We study the problem of designing a network that provides the right individual incentives. Motivated by cybersecurity, we first study the si...
متن کاملInformation-driven Default Contagion
Much of the existing literature on default contagion assumes a direct causal relationships between two obligors’ defaults. In this paper we present a model in which default contagion arises without causal links solely from information effects if investors are imperfectly informed about some common factors affecting the true riskiness of the obligors. We model this effect in a simple extension o...
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ژورنال
عنوان ژورنال: Journal of Financial Stability
سال: 2018
ISSN: 1572-3089
DOI: 10.1016/j.jfs.2017.05.009