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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Date of creation: 12 Jun 2012
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systemic risk; network models; contagion; common exposure;
Find related papers by JEL classification:
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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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