Contagion Risk within Firm-Bank Bivariate Networks
AbstractThis paper proposes a novel way to model a network of firm-bank and bank-bank interrelationships using a unique dataset for the Brazilian economy. We show that distress originating from firms can be propagated through the interbank network. Furthermore, we present evidence that the distribution of distress can have contagious effects due to correlated exposures. Our modeling approach and empirical results provide useful tools and information for policy makers and contribute to the discussion on assessing systemic risk in an interconnected world.
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Bibliographic InfoPaper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 322.
Date of creation: Aug 2013
Date of revision:
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Web page: http://www.bcb.gov.br/?english
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-08-16 (All new papers)
- NEP-BAN-2013-08-16 (Banking)
- NEP-CDM-2013-08-16 (Collective Decision-Making)
- NEP-NET-2013-08-16 (Network Economics)
- NEP-RMG-2013-08-16 (Risk Management)
- NEP-SPO-2013-08-16 (Sports & Economics)
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