Contingent Claims Analysis And The Inter-Sector Transmission Of Credit Risk
In: CNB Financial Stability Report 2011/2012
AbstractThe purpose of this article is to contribute to the modelling of the cross-sectional dimension of systemic risk. First, the network of financial linkages in the Czech economy is mapped and then a model of inter-sector transmission of financial contagion is presented. The model is used to quantify the results of two different risk scenarios. It is demonstrated that mutual exposures can amplify the consequences of negative shocks at times of increased financial stress. The magnitude of those consequences depends on which sector is primarily hit by the shock.
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This chapter was published in: Miroslav Plasil & Ivana Kubicova CNB Financial Stability Report 2011/2012, , chapter Thematic Article 4, pages 129-139, 2012.
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