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Bilateral Exposures and Systemic Solvency Risk

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  • Gourieroux, C.
  • Heam, J.C.
  • Monfort, A.

Abstract

By introducing a structure of the balance sheets of the banks, which takes into account their bilateral exposures in terms of stocks or lendings, we get a structural model for default analysis. This model allows distinguishing the exogenous and endogenous default dependence. We prove the existence and uniqueness of the liquidation equilibrium, we study the consequences of exogenous shocks on the banking system and we measure contagion phenomena. This approach is illustrated by an application to the French banking system.

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Bibliographic Info

Paper provided by Banque de France in its series Working papers with number 414.

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Length: 52 pages
Date of creation: 2012
Date of revision:
Handle: RePEc:bfr:banfra:414

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Postal: Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS
Web page: http://www.banque-france.fr/
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Related research

Keywords: Contagion; Systemic Risk; Solvency; Clearing; Liquidation Equilibrium; Impulse Response; Value-of-the Firm Model.;

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Cited by:
  1. Michele Bonollo & Irene Crimaldi & Andrea Flori & Fabio Pammolli & Massimo Riccaboni, 2014. "Systemic importance of financial institutions: regulations, research, open issues, proposals," Working Papers 2/2014, IMT Institute for Advanced Studies Lucca, revised Mar 2014.
  2. Christian Gouriéroux & Jean-Cyprien Heam & Alain Monfort, 2013. "Liquidation Equilibrium with Seniority and Hidden CDO," Working Papers 2013-06, Centre de Recherche en Economie et Statistique.
  3. Sylvain Benoit & Gilbert Colletaz & Christophe Hurlin & Christophe Pérignon, 2013. "A Theoretical and Empirical Comparison of Systemic Risk Measures," Working Papers halshs-00746272, HAL.

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