Author : Marcel Bluhm
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (872 download)
Book Synopsis Endogenous Banks' Networks, Cascades and Systemic Risk by : Marcel Bluhm
Download or read book Endogenous Banks' Networks, Cascades and Systemic Risk written by Marcel Bluhm and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a dynamic network model whose links are governed by banks' optmizing decisions and by an endogenous tâtonnement market adjustment. Banks in our model can default and engage in firesales: risk is transmitted through direct and cascading counterparty defaults as well as through indirect pecuniary externalities triggered by firesales. We use the model to assess the evolution of the network configuration under various prudential policy regimes, to measure banks' contribution to systemic risk (through Shapley values) in response to shocks and to analyze the effects of systemic risk charges. We complement the analysis by introducing the possibility of central bank liquidity provision.