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.

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Metadaten
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:Universit├Ątsbibliothek 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:Universit├Ątspublikationen
Licence (German):License LogoDeutsches Urheberrecht