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

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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


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