An Integrated Model of Systemic Risk in Financial Networks
1 hour 27 mins,
315.35 MB,
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480x270,
29.97 fps,
44100 Hz,
494.89 kbits/sec
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About this item
Description: |
Weber, S (Leibniz Universität Hannover)
Thursday 06 November 2014, 10:00-11:00 |
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Created: | 2014-11-12 16:16 |
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Collection: | Systemic Risk: Mathematical Modelling and Interdisciplinary Approaches |
Publisher: | Isaac Newton Institute |
Copyright: | Weber, S |
Language: | eng (English) |
Distribution: | World (downloadable) |
Explicit content: | No |
Aspect Ratio: | 16:9 |
Screencast: | No |
Bumper: | UCS Default |
Trailer: | UCS Default |
Abstract: | The talk presents a comprehensive model of a financial system that integrates network effects (cf. Eisenberg & Noe (2001)), bankruptcy costs (cf. Rogers & Veraart (2013)), cross- holdings (cf. Elsinger (2009)), and fire sales (cf. Cifuentes, Shin & Ferrucci (2005)). For the integrated financial market we prove the existence of a price-payment equilibrium and design an algorithm for the computation of the greatest and the least equilibrium. Systemic risk maesures and the number of defaults corresponding to the greatest price-payment equilibrium are analyzed in several comparative case studies. These illustrate the individual and joint impact of interbank liabilities, bankruptcy costs, cross-holdings and fire sales on systemic risk. |
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MPEG-4 Video | 640x360 | 1.93 Mbits/sec | 1.23 GB | View | Download | |
WebM | 640x360 | 710.91 kbits/sec | 458.21 MB | View | Download | |
iPod Video * | 480x270 | 494.89 kbits/sec | 315.35 MB | View | Download | |
MP3 | 44100 Hz | 249.97 kbits/sec | 161.12 MB | Listen | Download | |
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