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Banks Connectivity, Credit Risk Transfer and Stability of the Banking System

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Author Info

  • Julien Barre
  • Alain Raybaut
  • Dominique Torre

Abstract

Our dynamic model captures the network relations generated by credit risk transfer andsecuritization. Each bank determines its own level of risk according to fundamentals and the levelof risk of its environment, given the possibilities opened by credit risk transfer. The dynamics ofthe model is generated by the network structure of the interbank relations. A highly connectednetwork generates forces able to make the long term equilibrium of the bank industry dependanton initial conditions. Irregularity in the network can also explain that a final heterogeneity appearin the final situation of banks, even when their fundamentals were originally similar.

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File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/130031/1/ARTICLEBARRE-RAYBAUT-TORRE.pdf
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Bibliographic Info

Article provided by ULB -- Universite Libre de Bruxelles in its journal Brussels economic review.

Volume (Year): 55 (2012)
Issue (Month): 1 ()
Pages: 75-96

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Handle: RePEc:bxr:bxrceb:2013/130031

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Related research

Keywords: Banking networks; Securitization; Financial crisis contagion;

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