Now showing items 1-6 of 6
Input-Output-Based Measures of Systemic Importance
The analyses of intersectoral linkages of Leontief (1941) and Hirschman (1958) provide a natural way to study the transmission of risk among interconnected banks and to measure their systemic importance. In this paper we ...
Systemic Risk in an Interconnected Banking System with Endogenous Asset Markets
We analyze the emergence of systemic risk in a network model of interconnected bank balance sheets. The model incorporates multiple sources of systemic risk, including size of financial institutions, direct exposure from ...
Mutual Excitation in Eurozone Sovereign CDS
We study self- and cross-excitation of shocks in the Eurozone sovereign CDS market. We adopt a multivariate setting with credit default intensities driven by mutually exciting jump processes, to capture the salient features ...
Bank Networks: Contagion, Systemic Risk and Prudential Policy
We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest in non-liquid assets. Market clearing takes place through a tâtonnement process which yields the ...
Too Interconnected to Fail: A Survey of the Interbank Networks Literature
The banking system is highly interconnected and these connections can be conveniently represented as an interbank network. This survey presents a systematic overview of the recent advances in the theoretical literature on ...
Understanding the Shift from Micro to Macro-Prudential Thinking: A Discursive Network Analysis
While some economists argued for macro-prudential regulation pre-crisis, the macro-prudential approach and its emphasis on endogenously created systemic risk have only gained prominence post-crisis. Employing discourse and ...