Bilateral Exposures and Systemic Solvency Risk
AbstractBy 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 InfoPaper provided by Banque de France in its series Working papers with number 414.
Length: 52 pages
Date of creation: 2012
Date of revision:
Contagion; Systemic Risk; Solvency; Clearing; Liquidation Equilibrium; Impulse Response; Value-of-the Firm Model.;
Other versions of this item:
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-01-07 (All new papers)
- NEP-BAN-2013-01-07 (Banking)
- NEP-CFN-2013-01-07 (Corporate Finance)
- NEP-RMG-2013-01-07 (Risk Management)
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- 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.
- Christian Gouriéroux & Jean-Cyprien Heam & Alain Monfort, 2013.
"Liquidation Equilibrium with Seniority and Hidden CDO,"
2013-06, Centre de Recherche en Economie et Statistique.
- Gourieroux, C. & Heam, J.C. & Monfort, A., 2013. "Liquidation equilibrium with seniority and hidden CDO," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5261-5274.
- 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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