Systemic risk through contagion in a core-periphery structured banking network
نویسندگان
چکیده
منابع مشابه
Contagion Risk in Banking
A controversial issue in the literature on banking regulation is whether there is contagion risk, or not. This paper derives a framework to test for contagion risk and applies it to a data set of monthly bank failures under the US National Banking System from 1880 till 1936. To capture the count nature of bank failure data, an autoregressive Poisson model is used. The empirical results indicate...
متن کاملContagion Flow through Banking Networks
Starting from an empirical analysis of the network structure of the Austrian inter-bank market, we study the flow of funds through the banking network following exogenous shocks to the system. These shocks are implemented by stochastic changes in variables like interest rates, exchange rates, etc. We demonstrate that the system is relatively stable in the sence that defaults of individual banks...
متن کاملRisk Management, Financial Contagion, and Banking Regulation
Risk management is a central function of banks. Our model examines how banks use this ability to shift risk away from entrepreneurs. To create incentive compatibility, banks must assume some of the entrepreneurial risks, e. g. by underwriting OTC hedging contracts or granting loans. The arising bankruptcy risk causes potential contagion. A conflict of interest emerges because banks prefer a div...
متن کاملNetwork structure and systemic risk in banking systems
We present a quantitative methodology for analyzing the potential for contagion and systemic risk in a network of interlinked financial institutions, using a metric for the systemic importance of institutions: the Contagion Index. We apply this methodology to a data set of mutual exposures and capital levels of financial institutions in Brazil in 2007 and 2008, and analyze the role of balance s...
متن کاملSystemic Risk in Banking Systems
In the wake of the 2008 financial tsunami, existing methods and tools for managing financial risk have been criticized for weaknesses in monitoring and alleviating risks at the systemic level. A 2009 article in Nature suggested new approaches to modeling economic meltdowns are needed to prevent future financial crises. However, existing studies have not focused on analysis of systemic risk at t...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Banach Center Publications
سال: 2015
ISSN: 0137-6934,1730-6299
DOI: 10.4064/bc104-0-7