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A Network model of systemic risk : identifying the sources of dependence across institutions

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Date
2012
Author
Castro, CarlosAutoridad Universidad de Rosario
Ordóñez Herrera, Juan Sebastián
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Citation
URI
https://ideas.repec.org/p/col/000092/009651.html...

Summary

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 financial to the real sector. The model is calibrated to balance sheet data on the colombian financial 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.

Keyword

systemic risk ; network models ; contagion ; common exposure ;

Subject

Economía financiera ;

Source link

https://ideas.repec.org/p/col/000092/009651.html...

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