TY  - RPRT
A1  - Bluhm, Marcel
A1  - Faia, Ester
A1  - Krahnen, Jan Pieter
T1  - Endogenous banks' networks, cascades and systemic risk : [draft: march 2012]
N2  - 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.
KW  - networks
KW  - complexity
KW  - tatonnement
KW  - contagion
KW  - marked to market.
Y1  - 2012
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/34785
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-347850
UR  - https://www.coll.mpg.de/sites/www.coll.mpg.de/files/workshop/bfk_systemic_risk.pdf
N1  - First draft: March 2011. This draft: March 2012.
IS  - draft: march 2012
ER  -