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- Publisher Website: 10.1016/j.jedc.2015.06.008
- Scopus: eid_2-s2.0-84939427638
- WOS: WOS:000360515300008
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Article: Systemic risk mitigation in financial networks
Title | Systemic risk mitigation in financial networks |
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Authors | |
Keywords | Systemic risk Default contagion Financial networks Lender of last resort Mitigation policies |
Issue Date | 2015 |
Citation | Journal of Economic Dynamics and Control, 2015, v. 58, p. 152-166 How to Cite? |
Abstract | © 2015 Elsevier B.V.We propose a multi-period clearing framework, where the level of systemic risk is mitigated through the provision of liquidity assistance. The interbank liability network evolves stochastically over time, and assets of defaulted banks are sold to qualified banks within the network through a first-price sealed-bid auction. We find that policies targeting systemically important banks are more effective in core-periphery network structures, whereas those maximizing the total liquidity in the system are preferred in random network configurations. We assess sensitivity of systemic risk to variations in interbank liabilities as well as to their correlation structure. |
Persistent Identifier | http://hdl.handle.net/10722/236064 |
ISSN | 2021 Impact Factor: 1.620 2020 SCImago Journal Rankings: 1.181 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Capponi, Agostino | - |
dc.contributor.author | Chen, Peng Chu | - |
dc.date.accessioned | 2016-11-10T07:12:06Z | - |
dc.date.available | 2016-11-10T07:12:06Z | - |
dc.date.issued | 2015 | - |
dc.identifier.citation | Journal of Economic Dynamics and Control, 2015, v. 58, p. 152-166 | - |
dc.identifier.issn | 0165-1889 | - |
dc.identifier.uri | http://hdl.handle.net/10722/236064 | - |
dc.description.abstract | © 2015 Elsevier B.V.We propose a multi-period clearing framework, where the level of systemic risk is mitigated through the provision of liquidity assistance. The interbank liability network evolves stochastically over time, and assets of defaulted banks are sold to qualified banks within the network through a first-price sealed-bid auction. We find that policies targeting systemically important banks are more effective in core-periphery network structures, whereas those maximizing the total liquidity in the system are preferred in random network configurations. We assess sensitivity of systemic risk to variations in interbank liabilities as well as to their correlation structure. | - |
dc.language | eng | - |
dc.relation.ispartof | Journal of Economic Dynamics and Control | - |
dc.subject | Systemic risk | - |
dc.subject | Default contagion | - |
dc.subject | Financial networks | - |
dc.subject | Lender of last resort | - |
dc.subject | Mitigation policies | - |
dc.title | Systemic risk mitigation in financial networks | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1016/j.jedc.2015.06.008 | - |
dc.identifier.scopus | eid_2-s2.0-84939427638 | - |
dc.identifier.hkuros | 297527 | - |
dc.identifier.volume | 58 | - |
dc.identifier.spage | 152 | - |
dc.identifier.epage | 166 | - |
dc.identifier.isi | WOS:000360515300008 | - |
dc.identifier.issnl | 0165-1889 | - |