TY  - UNPD
A1  - Bluhm, Marcel
A1  - Faia, Ester
A1  - Krahnen, Jan Pieter
T1  - Endogenous banks' networks, cascades and systemic risk : [draft: march 2013]
T2  - SAFE working paper series ; No. 12
N2  - We develop a dynamic network model whose links are governed by banks' optmizing decisions and by an endogenous tâtonnement market adjustment. Banks in our model can default and engage in firesales: risk is transmitted through direct and cascading counterparty defaults as well as through indirect pecuniary externalities triggered by firesales. We use the model to assess the evolution of the network configuration under various prudential policy regimes, to measure banks' contribution to systemic risk (through Shapley values) in response to shocks and to analyze the effects of systemic risk charges. We complement the analysis by introducing the possibility of central bank liquidity provision.
T3  - SAFE working paper - 12 
KW  - network formation
KW  - tâtonnement
KW  - contagion
Y1  - 2013
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/29382
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-293828
UR  - http://ssrn.com/abstract=2235520
N1  - First draft: March 2011. This draft: March 2013.
IS  - draft: march 2013
PB  - Goethe-Univ., House of Finance, Sustainable Architecture for Finance in Europe, SAFE
CY  - Frankfurt am Main
ER  -