Ítem
Acceso Abierto
A Network model of systemic risk : identifying the sources of dependence across institutions
Título de la revista
Autores
Castro, Carlos
Ordóñez Herrera, Juan Sebastián
Fecha
2012
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Editor
Universidad del Rosario
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Resumen
Abstract
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.
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Keywords
systemic risk , network models , contagion , common exposure
