A Network model of systemic risk: identifying the sources of dependence across institutions
AbstractAbstract: We design a financial network model that explicitly incorporates linkages across institutions through a direct contagion channel, as well as an indirect common exposure channel. In particular, common exposure is setup so as to link the fi nancial to the real sector. The model is calibrated to balance sheet data on the colombian fi nancial sector. Results indicate that commercial banks are the most systemically important financial institutions in the system. Whereas government owned institutions are the most vulnerable institutions in the system.
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Bibliographic InfoPaper provided by UNIVERSIDAD DEL ROSARIO in its series DOCUMENTOS DE TRABAJO with number 009651.
Date of creation: 12 Jun 2012
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-06-25 (All new papers)
- NEP-BAN-2012-06-25 (Banking)
- NEP-CBA-2012-06-25 (Central Banking)
- NEP-NET-2012-06-25 (Network Economics)
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