dc.identifier.uri |
http://dx.doi.org/10.15488/4801 |
|
dc.identifier.uri |
https://www.repo.uni-hannover.de/handle/123456789/4844 |
|
dc.contributor.author |
Weber, Stefan
|
|
dc.contributor.author |
Weske, Kerstin
|
|
dc.date.accessioned |
2019-05-16T13:32:39Z |
|
dc.date.available |
2019-05-16T13:32:39Z |
|
dc.date.issued |
2017 |
|
dc.identifier.citation |
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 |
|
dc.description.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. |
eng |
dc.language.iso |
eng |
|
dc.publisher |
Berlin : Springer |
|
dc.relation.ispartofseries |
Probability, Uncertainty and Quantitative Risk 2 (2017), Nr. 9 |
|
dc.rights |
CC BY 4.0 Unported |
|
dc.rights.uri |
https://creativecommons.org/licenses/by/4.0/ |
|
dc.subject |
System risk |
eng |
dc.subject |
financial contagion |
eng |
dc.subject |
Financial network |
eng |
dc.subject |
cross-holding |
eng |
dc.subject |
fire sales |
eng |
dc.subject |
bankrupty costs |
eng |
dc.subject |
Ownership |
eng |
dc.subject |
Liquidity |
eng |
dc.subject |
Purchases |
eng |
dc.subject |
Markets |
eng |
dc.subject.ddc |
510 | Mathematik
|
ger |
dc.title |
The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks |
eng |
dc.type |
Article |
|
dc.type |
Text |
|
dc.relation.essn |
2367-0126 |
|
dc.relation.doi |
https://doi.org/10.1186/s41546-017-0020-9 |
|
dc.bibliographicCitation.issue |
9 |
|
dc.bibliographicCitation.volume |
2 |
|
dc.description.version |
publishedVersion |
|
tib.accessRights |
frei zug�nglich |
|