The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks

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Weber, S.; Weske, K.: The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks. In: Probability, Uncertainty and Quantitative Risk 2 (2017), Nr. 9. DOI: https://doi.org/10.1186/s41546-017-0020-9

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Sum total of downloads: 63




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Abstract: 
The paper presents a comprehensive model of a banking system that integrates network effects, bankruptcy costs, fire sales, and cross-holdings. For the integrated financial market we prove the existence of a price-payment equilibrium and design an algorithm for the computation of the greatest and the least equilibrium. The number of defaults corresponding to the greatest price-payment equilibrium is analyzed in several comparative case studies. These illustrate the individual and joint impact of interbank liabilities, bankruptcy costs, fire sales and cross-holdings on systemic risk. We study policy implications and regulatory instruments, including central bank guarantees and quantitative easing, the significance of last wills of financial institutions, and capital requirements.
License of this version: CC BY 4.0 Unported
Document Type: article
Publishing status: publishedVersion
Issue Date: 2017
Appears in Collections:Fakultät für Mathematik und Physik

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pos. country downloads
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1 image of flag of Germany Germany 38 60.32%
2 image of flag of No geo information available No geo information available 14 22.22%
3 image of flag of Ukraine Ukraine 3 4.76%
4 image of flag of Italy Italy 3 4.76%
5 image of flag of Canada Canada 3 4.76%
6 image of flag of United States United States 2 3.17%

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