Endogenous banks' networks, cascades and systemic risk : [draft: march 2012]
- We develop a dynamic network model with heterogenous banks which undertake optimizing portfolio decisions subject to liquidity and capital constraints and trade in the interbank market whose equilibrium is governed by a tatonnement process. Due to the micro-funded structure of the decisional process as well as the iterative dynamic adjustment taking place in the market, the links in the network structures are endogenous and evolve dynamically. We use the model to assess the diffusion of systemic risk (measured as default probability), the contribution of each bank to it as well as the evolution of the network in response to financial shocks and across different prudential policy regimes.
| Author: | Marcel Bluhm, Ester FaiaGND, Jan Pieter KrahnenORCiDGND |
|---|---|
| URN: | urn:nbn:de:hebis:30:3-347850 |
| URL: | https://www.coll.mpg.de/sites/www.coll.mpg.de/files/workshop/bfk_systemic_risk.pdf |
| Document Type: | Report |
| Language: | English |
| Year of Completion: | 2012 |
| Year of first Publication: | 2012 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2014/08/14 |
| Tag: | complexity; contagion; marked to market.; networks; tatonnement |
| Issue: | draft: march 2012 |
| Page Number: | 31 |
| Note: | First draft: March 2011. This draft: March 2012. |
| HeBIS-PPN: | 34727854X |
| Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
| Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) | |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Licence (German): |  Deutsches Urheberrecht |
