TY  - UNPD
A1  - Bluhm, Marcel
A1  - Krahnen, Jan Pieter
T1  - Default risk in an interconnected banking system with endogeneous asset markets : [Version: August 2011]
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2011,19
N2  - This paper analyzes the emergence of systemic risk in a network model of interconnected bank balance sheets. Given a shock to asset values of one or several banks, systemic risk in the form of multiple bank defaults depends on the strength of balance sheets and asset market liquidity. The price of bank assets on the secondary market is endogenous in the model, thereby relating funding liquidity to expected solvency - an important stylized fact of banking crises. Based on the concept of a system value at risk, Shapley values are used to define the systemic risk charge levied upon individual banks. Using a parallelized simulated annealing algorithm the properties of an optimal charge are derived. Among other things we find that there is not necessarily a correspondence between a bank's contribution to systemic risk - which determines its risk charge - and the capital that is optimally injected into it to make the financial system more resilient to systemic risk. The analysis has policy implications for the design of optimal bank levies. JEL Classification: G01, G18, G33 Keywords: Systemic Risk, Systemic Risk Charge, Systemic Risk Fund, Macroprudential Supervision, Shapley Value, Financial Network
T3  - CFS working paper series - 2011, 19 
KW  - systemic risk
KW  - systemic risk charge
KW  - systemic risk fund
KW  - macroprudential supervision
Y1  - 2011
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/22703
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-115350
IS  - Version: August 2011
ER  -