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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: 126
| 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 |
distribution of downloads over the selected time period:
downloads by country:
| pos. | country | downloads | ||
|---|---|---|---|---|
| total | perc. | |||
| 1 |  |
Germany | 56 | 44.44% |
| 2 |  |
United States | 31 | 24.60% |
| 3 |  |
No geo information available | 15 | 11.90% |
| 4 |  |
China | 7 | 5.56% |
| 5 |  |
Ukraine | 4 | 3.17% |
| 6 |  |
Italy | 3 | 2.38% |
| 7 |  |
Canada | 3 | 2.38% |
| 8 |  |
Vietnam | 1 | 0.79% |
| 9 |  |
Taiwan | 1 | 0.79% |
| 10 |  |
Netherlands | 1 | 0.79% |
| other countries | 4 | 3.17% | ||
Further download figures and rankings:
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