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Assessing Contagion Risk in a Financial Network

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Abstract

Since the 2008 financial crisis, there has been an explosion of research trying to understand and quantify the default spillovers that can arise through counterparty risk. This first of two posts delves into the analysis of financial network contagion through this spillover channel. The authors introduce a framework, originally developed by Eisenberg and Noe, that is useful for thinking about default cascades.

Suggested Citation

  • Fernando M. Duarte & Collin Jones & Francisco Ruela, 2019. "Assessing Contagion Risk in a Financial Network," Liberty Street Economics 20190624, Federal Reserve Bank of New York.
    • Handle: RePEc:fip:fednls:87340
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    File URL: https://libertystreeteconomics.newyorkfed.org/2019/06/assessing-contagion-risk-in-a-financial-network.html
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    More about this item

    Keywords

    financial sector; counterparty risks; default; spillovers; Networks;
    All these keywords.

    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services

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